We consider Bayesian estimation of restricted conditional moment models with linear regression as a particular example. The standard practice in the Bayesian literature for semiparametric models is to use flexible families of distributions for the errors and assume that the errors are...

In this paper we consider Bayesian estimation of restricted conditional moment models with the linear regression as a particular example. A common practice in the Bayesian literature for linear regression and other semi-parametric models is to use flexible families of distributions for the...