SIMULTANEOUS EQUATIONS BAYESIAN BOOTSTRAP

This paper introduces a semi-parametric bootstrapping approach to Bayesian analysis of structural parameters in simultaneous equation systems that extends the single and multivariate regression approaches of Heckelei and Mittelhammer (1996, 2002) to models with endogenous regressors. Monte Carlo evidence demonstrated the considerable accuracy of the procedure in approximating posterior distributions, even for small sample sizes.

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Year of publication:	2002
Authors:	Heckelei, Thomas ; Mittelhammer, Ronald C.
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	Research Methods/ Statistical Methods

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Extent:	application/pdf
Series:	2002 Annual meeting, July 28-31, Long Beach, CA.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2002 Annual meeting, July 28-31, Long Beach, CA Number 19873
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005460305