Uncertain identification
Raffaella Giacomini, Toru Kitagawa, Alessio Volpicella
Uncertainty about the choice of identifying assumptions is common in causal studies, but is often ignored in empirical practice. This paper considers uncertainty over models that impose different identifying assumptions, which can lead to a mix of point‐ and set‐identified models. We propose performing inference in the presence of such uncertainty by generalizing Bayesian model averaging. The method considers multiple posteriors for the set‐identified models and combines them with a single posterior for models that are either point‐identified or that impose nondogmatic assumptions. The output is a set of posteriors (post‐averaging ambiguous belief), which can be summarized by reporting the set of posterior means and the associated credible region. We clarify when the prior model probabilities are updated and characterize the asymptotic behavior of the posterior model probabilities. The method provides a formal framework for conducting sensitivity analysis of empirical findings to the choice of identifying assumptions. For example, we find that in a standard monetary model one would need to attach a prior probability greater than 0.28 to the validity of the assumption that prices do not react contemporaneously to a monetary policy shock, in order to obtain a negative response of output to the shock.
Year of publication: |
2022
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Authors: | Giacomini, Raffaella ; Kitagawa, Toru ; Volpicella, Alessio |
Published in: |
Quantitative economics : QE ; journal of the Econometric Society. - Oxford [u.a.] : Wiley, ISSN 1759-7331, ZDB-ID 2569569-1. - Vol. 13.2022, 1, p. 95-123
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Subject: | ambiguity | Bayesian robustness | model averaging | Partial identification | sensitivity analysis | Bayes-Statistik | Bayesian inference | Sensitivitätsanalyse | Sensitivity analysis | Entscheidung unter Unsicherheit | Decision under uncertainty | Robustes Verfahren | Robust statistics | Modellierung | Scientific modelling | Risiko | Risk | Schätztheorie | Estimation theory |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3982/QE1671 [DOI] hdl:10419/296270 [Handle] |
Classification: | C11 - Bayesian Analysis ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012807735