Florens, Jean-Pierre; Simoni, Anna - In: Journal of Econometrics 170 (2012) 2, pp. 458-475
We propose a quasi-Bayesian nonparametric approach to estimating the structural relationship φ among endogenous variables when instruments are available. We show that the posterior distribution of φ is inconsistent in the frequentist sense. We interpret this fact as the ill-posedness of the...