Bayesian Endogeneity Bias Modeling
Montes-Rojas, G. & Galvao Jr, A. F. (2013). Bayesian Endogeneity Bias Modeling (13/09). London, UK: Department of Economics, City University London.
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: | Monograph (Discussion Paper) |
|---|---|
| Additional Information: | © 2013 the authors. |
| Publisher Keywords: | Endogeneity; Shrinkage; Ridge regression; Method of moments |
| Subjects: | H Social Sciences > HB Economic Theory |
| Departments: | School of Policy & Global Affairs > Economics > Discussion Paper Series |
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