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Posterior distribution of nondifferentiable functions

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  • Kitagawa, Toru
  • Montiel Olea, José Luis
  • Payne, Jonathan
  • Velez, Amilcar

Abstract

This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(θ), where θ is a finite-dimensional parameter of either a parametric or semiparametric model. The main assumption is that the distribution of a suitable estimator θ̂n, its bootstrap approximation, and the Bayesian posterior for θ all agree asymptotically.

Suggested Citation

  • Kitagawa, Toru & Montiel Olea, José Luis & Payne, Jonathan & Velez, Amilcar, 2020. "Posterior distribution of nondifferentiable functions," Journal of Econometrics, Elsevier, vol. 217(1), pages 161-175.
    • Handle: RePEc:eee:econom:v:217:y:2020:i:1:p:161-175
    DOI: 10.1016/j.jeconom.2019.10.009
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    4. Kline, Brendan, 2024. "Classical p-values and the Bayesian posterior probability that the hypothesis is approximately true," Journal of Econometrics, Elsevier, vol. 240(1).

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