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Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix

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  • Ulrich K. Müller

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  • Ulrich K. Müller, 2013. "Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix," Econometrica, Econometric Society, vol. 81(5), pages 1805-1849, September.
    • Handle: RePEc:ecm:emetrp:v:81:y:2013:i:5:p:1805-1849
    DOI: ECTA9097
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    Cited by:

    1. Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "The Transmission of Monetary Policy Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(3), pages 74-107, July.
    2. Germano Ruisi, 2019. "Time-Varying Local Projections," Working Papers 891, Queen Mary University of London, School of Economics and Finance.
    3. Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2018. "Inference in Linear Regression Models with Many Covariates and Heteroscedasticity," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1350-1361, July.
    4. Pelenis, Justinas, 2014. "Bayesian regression with heteroscedastic error density and parametric mean function," Journal of Econometrics, Elsevier, vol. 178(P3), pages 624-638.
    5. Nathan, Daniel & Ben Zeev, Nadav, 2022. "Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination," MPRA Paper 112909, University Library of Munich, Germany.
    6. Gael M. Martin & David T. Frazier & Christian P. Robert, 2020. "Computing Bayes: Bayesian Computation from 1763 to the 21st Century," Monash Econometrics and Business Statistics Working Papers 14/20, Monash University, Department of Econometrics and Business Statistics.
    7. David T. Frazier & Christian P. Robert & Judith Rousseau, 2017. "Model Misspecification in ABC: Consequences and Diagnostics," Papers 1708.01974, arXiv.org, revised Jul 2019.

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