Instrumental variable (IV) regression provides a number of statistical challenges due to the shape of the likelihood. We review the main Bayesian literature on instrumental variables and highlight these pathologies. We discuss Jeffreys priors, the connection to the errors-in-the-variables...

This paper contributes to the emerging Bayesian literature on treatment effects. It derives treatment parameters in the framework of a potential outcomes model with a treatment choice equation, where the correlation between the unobservable components of the model is driven by a low-dimensional...

In this article, we propose a predictive mean squared error criterion for selecting diffusion index models, which are useful in forecasting when many predictors are available. A special feature of the proposed criterion is that it takes into account the uncertainty in estimated common factors....