Conley, Timothy G.; Hansen, Christian B.; McCulloch, … - In: Journal of Econometrics 144 (2008) 1, pp. 276-305
We develop a Bayesian semi-parametric approach to the instrumental variable problem. We assume linear structural and reduced form equations, but model the error distributions non-parametrically. A Dirichlet process prior is used for the joint distribution of structural and instrumental variable...
