Bayesian Endogeneity Bias Modeling

Gabriel Montes-Rojas and A. F. Galvao

Working Papers from Department of Economics, City University London

Abstract: We propose to model endogeneity bias using prior distributions of moment conditions. The estimator can be obtained both as a method-of-moments estimator and in a Ridge penalized regression framework. We show the estimator's relation to a Bayesian estimator.

Keywords: Endogeneity; Shrinkage; Ridge regression; Method of moments (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ecm
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https://openaccess.city.ac.uk/id/eprint/2923/1/13_ ... Rojas-Galvao2013.pdf

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Journal Article: Bayesian endogeneity bias modeling (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:cty:dpaper:13/09

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