Bayesian endogeneity bias modeling

Gabriel Montes-Rojas () and Antonio Galvao

Economics Letters, 2014, vol. 122, issue 1, 36-39

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)
JEL-codes: C11 C52 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Bayesian Endogeneity Bias Modeling (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:122:y:2014:i:1:p:36-39

DOI: 10.1016/j.econlet.2013.10.034

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