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:	2014
Authors:	Montes-Rojas, Gabriel ; Galvao, Antonio F.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 122.2014, 1, p. 36-39
Publisher:	Elsevier
Subject:	Endogeneity \| Shrinkage \| Ridge regression \| Method of moments

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Type of publication:	Article
Classification:	C11 - Bayesian Analysis ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010729448