Reparametrization and the Semiparametric Bernstein-von-Mises Theorem

Abstract

This paper considers Bayesian inference for the partially linear model. Our approach exploits a parametrization of the regression function that is tailored toward estimating a low-dimensional parameter of interest. The key property of the parametrization is that it generates a Neyman orthogonal moment condition meaning that the low-dimensional parameter is less sensitive to the estimation of nuisance parameters. Our large sample analysis supports this claim. In particular, we derive sufficient conditions under which the posterior for the low-dimensional parameter contracts around the truth at the parametric rate and is asymptotically normal with a variance that coincides with the semiparametric efficiency bound. These conditions allow for a larger class of nuisance parameters relative to the original parametrization of the regression model. Overall, we conclude that a parametrization that embeds Neyman orthogonality can be a useful device for debiasing posterior distributions in semiparametric models