Bayesian endogeneity bias modeling
Montes-Rojas, G. & Galvao Jr, A. F. (2014). Bayesian endogeneity bias modeling. Economics Letters, 122(1), pp. 36-39. doi: 10.1016/j.econlet.2013.10.034
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.
Publication Type: | Article |
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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. |
Publisher Keywords: | Endogeneity, Shrinkage, Ridge regression, Method of moments |
Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
Departments: | School of Policy & Global Affairs > Economics |
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