Giacomini, Raffaella; Kitagawa, Toru - In: Econometrica 89 (2021) 4, pp. 1519-1556
This paper reconciles the asymptotic disagreement between Bayesian and frequentist inference in set‐identified models by adopting a multiple‐prior (robust) Bayesian approach. We propose new tools for Bayesian inference in set‐identified models and show that they have a well‐defined...