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We propose to model endogeneity bias using prior distributions of moment conditions. The estimator can be obtained both as a method-of-moments estimator and in a Ridge penalized regression framework. We show the estimator's relation to a Bayesian estimator.
|Additional Information:||NOTICE: this is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, Volume 122, Issue 1, Pages 36–39, http://dx.doi.org/10.1016/j.econlet.2013.10.034.|
|Uncontrolled Keywords:||Endogeneity, Shrinkage, Ridge regression, Method of moments|
|Subjects:||H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
|Divisions:||School of Social Sciences > Department of Economics|
Available Versions of this Item
Bayesian endogeneity bias modeling. (deposited 30 Jul 2014 13:56)
- Bayesian endogeneity bias modeling. (deposited 02 Jul 2015 13:38) [Currently Displayed]
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