Bayesian Endogeneity Bias Modeling

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.

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Year of publication:	2013
Authors:	Montes-Rojas, G. ; Galvao Jr, A. F.
Institutions:	Department of Economics, City University
Subject:	Endogeneity \| Shrinkage \| Ridge regression \| Method of moments

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011268906