Econometrica Vol. 94 No. 5 2026
Locally Robust Semiparametrically Efficient Bayesian Inference
Abstract
We propose a framework for making Bayesian parametric models robust to local misspecification. Suppose in a baseline parametric model, a parameter of interest has an interpretation in an encompassing semiparametric model. Bayesian and maximum likelihood estimators are generally biased under local misspecification. We propose to augment the baseline likelihood by a multiplicative factor that involves scores for the baseline model, the efficient scores for the encompassing semiparametric model, and an auxiliary parameter that has the same dimension as the parameter of interest. We show that the marginal posterior for the parameter of interest in the augmented model is asymptotically normal with mean equal to the semiparametrically efficient estimator and variance equal to the semiparametric efficiency bound. The suggested augmentation robustifies the baseline parametric model to local misspecification, while preserving the appeal of Bayesian inference. We develop an MCMC algorithm for the augmented model and illustrate the approach in applications.
- DOI
- 10.3982/ecta23242
- Volume
- 94
- Issue
- 5
- Pages
- 1761-1777
- Language
- en
- Sources
- crossref