SIMULTANEOUS EQUATIONS BAYESIAN BOOTSTRAP

Thomas Heckelei and Ron C. Mittelhammer

No 19873, 2002 Annual meeting, July 28-31, Long Beach, CA from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: This paper introduces a semi-parametric bootstrapping approach to Bayesian analysis of structural parameters in simultaneous equation systems that extends the single and multivariate regression approaches of Heckelei and Mittelhammer (1996, 2002) to models with endogenous regressors. Monte Carlo evidence demonstrated the considerable accuracy of the procedure in approximating posterior distributions, even for small sample sizes.

Keywords: Research Methods/ Statistical Methods (search for similar items in EconPapers)
Date: 2002
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