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Bayesian IV: the normal case with multiple endogenous variables


  • Cogley, Timothy
  • Startz, Richard


We set out a Gibbs sampler for the linear instrumental-variable model withnormal errors and normal priors, and we show how to compute the marginallikelihood.

Suggested Citation

  • Cogley, Timothy & Startz, Richard, 2012. "Bayesian IV: the normal case with multiple endogenous variables," University of California at Santa Barbara, Economics Working Paper Series qt40v0x246, Department of Economics, UC Santa Barbara.
  • Handle: RePEc:cdl:ucsbec:qt40v0x246

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    References listed on IDEAS

    1. Hoogerheide, Lennart & Kleibergen, Frank & van Dijk, Herman K., 2007. "Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data," Journal of Econometrics, Elsevier, vol. 138(1), pages 63-103, May.
    2. Hoogerheide, Lennart F. & Kaashoek, Johan F. & van Dijk, Herman K., 2007. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," Journal of Econometrics, Elsevier, vol. 139(1), pages 154-180, July.
    3. Kleibergen, Frank & Zivot, Eric, 2003. "Bayesian and classical approaches to instrumental variable regression," Journal of Econometrics, Elsevier, vol. 114(1), pages 29-72, May.
    4. Gao, Chuanming & Lahiri, Kajal, 2000. "MCMC algorithms for two recent Bayesian limited information estimators," Economics Letters, Elsevier, vol. 66(2), pages 121-126, February.
    5. Arnold Zellner & Tomohiro Ando & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2011. "Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte Carlo," Tinbergen Institute Discussion Papers 11-137/4, Tinbergen Institute.
    6. Conley, Timothy G. & Hansen, Christian B. & McCulloch, Robert E. & Rossi, Peter E., 2008. "A semi-parametric Bayesian approach to the instrumental variable problem," Journal of Econometrics, Elsevier, vol. 144(1), pages 276-305, May.
    7. L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters,in: Credit and State Theories of Money, chapter 1 Edward Elgar Publishing.
    8. Geweke, John, 1996. "Bayesian reduced rank regression in econometrics," Journal of Econometrics, Elsevier, vol. 75(1), pages 121-146, November.
    9. Philippe Robert-Demontrond & R. Ringoot, 2004. "Introduction," Post-Print halshs-00081823, HAL.
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    Cited by:

    1. Alain Galli, 2016. "Sticky consumption and wealth effects in Switzerland," Working Papers 2016-14, Swiss National Bank.

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    Social and Behavioral Sciences; instrumental variables; bayesian; gibbs sampling;

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