Thinking about instrumental variables (in Russian)
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References listed on IDEAS
- Jon Faust, 1999. "Conventional Confidence Intervals for Points on Spectrum Have Confidence Level Zero," Econometrica, Econometric Society, vol. 67(3), pages 629-638, May.
- Geweke, John, 1996. "Bayesian reduced rank regression in econometrics," Journal of Econometrics, Elsevier, vol. 75(1), pages 121-146, November.
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- Dante Amengual & Enrique Sentana, 2016. "Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(2), pages 248-252.
- Hedibert F. Lopes & Nicholas G. Polson, 2014. "Bayesian Instrumental Variables: Priors and Likelihoods," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 100-121, June.
- Kociecki, Andrzej, 2013. "Bayesian Approach and Identification," MPRA Paper 46538, University Library of Munich, Germany.
- Pablo A. Guerrón-Quintana & James M. Nason, 2013.
"Bayesian estimation of DSGE models,"
Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 21, pages 486-512
Edward Elgar Publishing.
- Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Pablo A. Guerrón-Quintana & James M. Nason, 2012. "Bayesian estimation of DSGE models," Working Papers 12-4, Federal Reserve Bank of Philadelphia.
More about this item
KeywordsBayesian approach; GMM; instrumental variables; weak instruments; instrument selection; entropy;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
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