Bayesian and Classical Approaches to Instrumental Variable Regression.

We establish the relationships between certain Bayesian and classical approaches to instrumental variable regression. We determine the form of priors that lead to posteriors for structural parameters that have similar properties as classical 2SLS and LIML and in doing so provide some new insight to the small sample behavior of Bayesian and classical procedures in the limited information simultaneous equations model.

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Year of publication:	1998
Authors:	Kleibergen, F. ; Zivot, E.
Institutions:	Econometrisch Instituut, Faculteit der Economische Wetenschappen
Subject:	ECONOMIC MODELS \| INSTRUMENTAL VARIABLES \| REGRESSION ANALYSIS

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Series:	Erasmus University of Rotterdam - Econometric Institute.
Type of publication:	Book / Working Paper
Notes:	38 pages
Classification:	C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C10 - Econometric and Statistical Methods: General. General ; C20 - Econometric Methods: Single Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005660912