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Bayesian Endogeneity Bias Modeling

Author

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  • Montes-Rojas, G.
  • Galvao Jr, A. F.

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.

Suggested Citation

  • Montes-Rojas, G. & Galvao Jr, A. F., 2013. "Bayesian Endogeneity Bias Modeling," Working Papers 13/09, Department of Economics, City University London.
  • Handle: RePEc:cty:dpaper:13/09
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    File URL: https://openaccess.city.ac.uk/id/eprint/2923/1/13_09_City_WP-MontesRojas-Galvao2013.pdf
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    References listed on IDEAS

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    Cited by:

    1. Galvao, Antonio F. & Montes-Rojas, Gabriel & Song, Suyong, 2017. "Endogeneity bias modeling using observables," Economics Letters, Elsevier, vol. 152(C), pages 41-45.
    2. Mukhoti, Sujay & Guhathakurta, Kousik, 2015. "Product market performance and capital structure: A Hierarchical Bayesian semi-parametric panel regression model," MPRA Paper 62517, University Library of Munich, Germany.

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    More about this item

    Keywords

    Endogeneity; Shrinkage; Ridge regression; Method of moments;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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