Bayesian Model Averaging in the Instrumental Variable Regression Model

Gary Koop, Roberto Leon-Gonzalez and Rodney Strachan

No 2011-23, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: This paper considers the instrumental variable regression model when there is uncertainty about the set of instruments, exogeneity restrictions, the validity of identifying restrictions and the set of exogenous regressors. This uncertainty can result in a huge number of models. To avoid statistical problems associated with standard model selection procedures, we develop a reversible jump Markov chain Monte Carlo algorithm that allows us to do Bayesian model averaging. The algorithm is very exible and can be easily adapted to analyze any of the di¤erent priors that have been proposed in the Bayesian instrumental variables literature. We show how to calculate the probability of any relevant restriction (e.g. the posterior probability that over-identifying restrictions hold) and discuss diagnostic checking using the posterior distribution of discrepancy vectors. We illustrate our methods in a returns-to-schooling application.

Keywords: Bayesian; endogeneity; simultaneous equations; reversible jump Markov chain Monte Carlo (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10943/264
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Bayesian model averaging in the instrumental variable regression model (2012)
Working Paper: Bayesian Model Averaging in the Instrumental Variable Regression Model (2012)
Working Paper: Bayesian Model Averaging in the Instrumental Variable Regression Model (2011)
Working Paper: Bayesian Model Averaging in the Instrumental Variable Regression Model* (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:edn:sirdps:264

Access Statistics for this paper

More papers in SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE) 31 Buccleuch Place, EH8 9JT, Edinburgh. Contact information at EDIRC.
Bibliographic data for series maintained by Research Office ().