IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1708.01974.html
   My bibliography  Save this paper

Model Misspecification in ABC: Consequences and Diagnostics

Author

Listed:
  • David T. Frazier
  • Christian P. Robert
  • Judith Rousseau

Abstract

We analyze the behavior of approximate Bayesian computation (ABC) when the model generating the simulated data differs from the actual data generating process; i.e., when the data simulator in ABC is misspecified. We demonstrate both theoretically and in simple, but practically relevant, examples that when the model is misspecified different versions of ABC can yield substantially different results. Our theoretical results demonstrate that even though the model is misspecified, under regularity conditions, the accept/reject ABC approach concentrates posterior mass on an appropriately defined pseudo-true parameter value. However, under model misspecification the ABC posterior does not yield credible sets with valid frequentist coverage and has non-standard asymptotic behavior. In addition, we examine the theoretical behavior of the popular local regression adjustment to ABC under model misspecification and demonstrate that this approach concentrates posterior mass on a completely different pseudo-true value than accept/reject ABC. Using our theoretical results, we suggest two approaches to diagnose model misspecification in ABC. All theoretical results and diagnostics are illustrated in a simple running example.

Suggested Citation

  • David T. Frazier & Christian P. Robert & Judith Rousseau, 2017. "Model Misspecification in ABC: Consequences and Diagnostics," Papers 1708.01974, arXiv.org, revised Jul 2019.
  • Handle: RePEc:arx:papers:1708.01974
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1708.01974
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Richard Royall & Tsung‐Shan Tsou, 2003. "Interpreting statistical evidence by using imperfect models: robust adjusted likelihood functions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 391-404, May.
    2. 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.
    3. D.T. Frazier & G.M. Martin & C.P. Robert & J. Rousseau, 2016. "Asymptotic Properties of Approximate Bayesian Computation," Monash Econometrics and Business Statistics Working Papers 18/16, Monash University, Department of Econometrics and Business Statistics.
    4. repec:dau:papers:123456789/5724 is not listed on IDEAS
    5. Freedman, David A., 2006. "On The So-Called "Huber-Sandwich Estimator" and "Robust Standard Errors"," The American Statistician, American Statistical Association, vol. 60, pages 299-302, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Frazier, David T. & Maneesoonthorn, Worapree & Martin, Gael M. & McCabe, Brendan P.M., 2019. "Approximate Bayesian forecasting," International Journal of Forecasting, Elsevier, vol. 35(2), pages 521-539.
    2. Rodrigues, G.S. & Prangle, D. & Sisson, S.A., 2018. "Recalibration: A post-processing method for approximate Bayesian computation," Computational Statistics & Data Analysis, Elsevier, vol. 126(C), pages 53-66.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Greene, William, 2007. "Functional Form and Heterogeneity in Models for Count Data," Foundations and Trends(R) in Econometrics, now publishers, vol. 1(2), pages 113-218, August.
    2. Adam C. Sales & Ben B. Hansen, 2020. "Limitless Regression Discontinuity," Journal of Educational and Behavioral Statistics, , vol. 45(2), pages 143-174, April.
    3. Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
    4. 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.
    5. Ferraccioli, Federico & Sangalli, Laura M. & Finos, Livio, 2022. "Some first inferential tools for spatial regression with differential regularization," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    6. Zhiwei Zhang, 2010. "Profile Likelihood and Incomplete Data," International Statistical Review, International Statistical Institute, vol. 78(1), pages 102-116, April.
    7. George Karabatsos, 2023. "Approximate Bayesian computation using asymptotically normal point estimates," Computational Statistics, Springer, vol. 38(2), pages 531-568, June.
    8. 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.
    9. Mario Hasler, 2016. "Heteroscedasticity: multiple degrees of freedom vs. sandwich estimation," Statistical Papers, Springer, vol. 57(1), pages 55-68, March.
    10. Tsung-Shan Tsou, 2005. "Inferences of variance function - a parametric robust way," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(8), pages 785-796.
    11. Gonzalez-Feliu, Jesus & Sánchez-Díaz, Iván, 2019. "The influence of aggregation level and category construction on estimation quality for freight trip generation models," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 121(C), pages 134-148.
    12. William Greene, 2007. "Discrete Choice Modeling," Working Papers 07-6, New York University, Leonard N. Stern School of Business, Department of Economics.
    13. Shen, Chung-Wei & Tsou, Tsung-Shan & Balakrishnan, N., 2011. "Robust likelihood inference for regression parameters in partially linear models," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1696-1714, April.
    14. Arnold,Benjamin Ford & Briceno,Bertha & Colford Jr.,John M. & Gertler,Paul J. & Patil, Sumeet R. & Salvatore,Alicia Link, 2013. "A randomized, controlled study of a rural sanitation behavior change program in Madhya Pradesh, India," Policy Research Working Paper Series 6702, The World Bank.
    15. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2022. "Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities," Econometrica, Econometric Society, vol. 90(4), pages 1681-1710, July.
    16. Thijs Dekker & Paul Koster & Roy Brouwer, 2014. "Changing with the Tide: Semiparametric Estimation of Preference Dynamics," Land Economics, University of Wisconsin Press, vol. 90(4), pages 717-745.
    17. Germano Ruisi, 2019. "Time-Varying Local Projections," Working Papers 891, Queen Mary University of London, School of Economics and Finance.
    18. 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.
    19. repec:hal:wpaper:halshs-00825240 is not listed on IDEAS
    20. 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.
    21. Lemonte, Artur J., 2013. "On the gradient statistic under model misspecification," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 390-398.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1708.01974. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.