# Bayesian and classical approaches to instrumental variable regression

## Author

## Abstract

## Suggested Citation

**Bayesian and classical approaches to instrumental variable regression**," Econometric Institute Research Papers EI 9835, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

*RePEc:ems:eureir:1540*

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## Other versions of this item:

- Kleibergen, Frank & Zivot, Eric, 2003.
"
**Bayesian and classical approaches to instrumental variable regression**," Journal of Econometrics, Elsevier, vol. 114(1), pages 29-72, May.

- Frank Kleibergen & Eric Zivot, 2003.
"
**Bayesian and Classical Approaches to Instrumental Variable Regression**," Working Papers UWEC-2002-21-P, University of Washington, Department of Economics. - Frank Kleibergen & Eric Zivot, 1998.
"
**Bayesian and Classical Approaches to Instrumental Variable Regression**," Discussion Papers in Economics at the University of Washington 0063, Department of Economics at the University of Washington. - Frank Kleibergen & Eric Zivot, 1998.
"
**Bayesian and Classical Approaches to Instrumental Variables Regression**," Econometrics 9812002, University Library of Munich, Germany. - Frank Kleibergen & Eric Zivot, 1998.
"
**Bayesian and Classical Approaches to Instrumental Variable Regression**," Working Papers 0063, University of Washington, Department of Economics.

## References listed on IDEAS

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"
**Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator**," NBER Technical Working Papers 0068, National Bureau of Economic Research, Inc. - Nelson, C. & Startz, R., 1988.
"
**Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator**," Working Papers 88-06, University of Washington, Department of Economics.

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"
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"
**Valid Confidence Intervals and Inference in the Presence of Weak Instruments**," Discussion Papers in Economics at the University of Washington 97-17, Department of Economics at the University of Washington. - Nelson, C.R. & Startz, R. & Zivot, E., 1996.
"
**Valid Confidence Intervals and Inference in the Presence of Weak Instruments**," Working Papers 96-15, University of Washington, Department of Economics. - Zivot, E & Startz, R & Nelson, C-R, 1997.
"
**Valid Confidence Intervals and Inference in the Presence of Weak Instruments**," Working Papers 97-17, University of Washington, Department of Economics. - Charles R. Nelson & Richard Startz & Eric Zivot, 1996.
"
**Valid Confidence Intervals and Inference in the Presence of Weak Instruments**," Econometrics 9612002, University Library of Munich, Germany.

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**Why Are Estimates of Agricultural Supply Response so Variable?**," Finance and Economics Discussion Series 1996-08, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.

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**Improved Inference for the Instrumental Variable Estimator**," Working Papers 0039, University of Washington, Department of Economics.- Charles Nelson & Richard Startz & Eric Zivot, 2000.
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**Improved Inference for the Instrumental Variables Estimator**," Econometric Society World Congress 2000 Contributed Papers 1600, Econometric Society. - Richard Startz & Charles Nelson & Eric Zivot, 1999.
"
**Improved Inference for the Instrumental Variable Estimator**," Discussion Papers in Economics at the University of Washington 0039, Department of Economics at the University of Washington. - Richard Startz & Charles Nelson & Eric Zivot, 1999.
"
**Improved Inference for the Instrumental Variable Estimator**," Econometrics 9905001, University Library of Munich, Germany.

- Charles Nelson & Richard Startz & Eric Zivot, 2000.
"
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"
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**Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration**," Econometric Institute Research Papers EI 9821, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

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**Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments**," Econometrics 9610005, University Library of Munich, Germany.

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**Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior**," Journal of Econometrics, Elsevier, vol. 87(1), pages 49-86, August. - Maddala, G S, 1976.
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**Weak Priors and Sharp Posteriors in Simultaneous Equation Models**," Econometrica, Econometric Society, vol. 44(2), pages 345-351, March. - Kleibergen, Frank & van Dijk, Herman K., 1998.
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**Bayesian Simultaneous Equations Analysis using Reduced Rank Structures**," Econometric Institute Research Papers EI 9714/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Frank Kleibergen & Herman K. van Dijk, 1998.
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**Bayesian Simultaneous Equations Analysis using Reduced Rank Structures**," Tinbergen Institute Discussion Papers 98-025/4, Tinbergen Institute.

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**Exact small sample theory in the simultaneous equations model**," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 8, pages 449-516, Elsevier.- Peter C.B. Phillips, 1982.
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**Partially Identified Econometric Models**," Econometric Theory, Cambridge University Press, vol. 5(2), pages 181-240, August.- Peter C.B. Phillips, 1987.
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**The finite sample properties of simultaneous equations' estimates and estimators Bayesian and non-Bayesian approaches**," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 185-212. - John Shea, 1997.
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**Full references**(including those not matched with items on IDEAS)

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## More about this item

### Keywords

LIML; bayesian approaches; classical approaches; instrumental variable regression;All these keywords.

### JEL classification:

**C1**- Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General**C2**- Mathematical and Quantitative Methods - - Single Equation Models; Single Variables**C3**- Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables**C4**- Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics**C5**- Mathematical and Quantitative Methods - - Econometric Modeling**C8**- Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

### Statistics

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