City Research Online

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.


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
[thumbnail of 13_09_City_WP-MontesRojas-Galvao2013.pdf]
Download (309kB) | Preview


Add to AnyAdd to TwitterAdd to FacebookAdd to LinkedinAdd to PinterestAdd to Email


Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login