Bayesian Endogeneity Bias Modeling

Montes-Rojas, G. & Galvao Jr, A. F. (2013). Bayesian Endogeneity Bias Modeling (Report No. 13/09). London, UK: Department of Economics, City University London.

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Abstract

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.

Item Type: Monograph (Discussion Paper)
Additional Information: © 2013 the authors.
Uncontrolled Keywords: Endogeneity; Shrinkage; Ridge regression; Method of moments
Subjects: H Social Sciences > HB Economic Theory
Divisions: School of Social Sciences > Department of Economics > Department of Economics Discussion Paper Series
URI: http://openaccess.city.ac.uk/id/eprint/2923

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