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Bayesian endogeneity bias modeling

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  • Montes-Rojas, Gabriel
  • Galvao, Antonio 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, Gabriel & Galvao, Antonio F., 2014. "Bayesian endogeneity bias modeling," Economics Letters, Elsevier, vol. 122(1), pages 36-39.
    • Handle: RePEc:eee:ecolet:v:122:y:2014:i:1:p:36-39
    DOI: 10.1016/j.econlet.2013.10.034
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    9. Hausman, Jerry A., 1983. "Specification and estimation of simultaneous equation models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 7, pages 391-448, Elsevier.
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    Cited by:

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    3. Maynou, Laia & Saez, Marc & López-Casasnovas, Guillem, 2024. "Association of income and wealth with self-reported health status: analysis of European countries during the financial crisis," LSE Research Online Documents on Economics 124212, London School of Economics and Political Science, LSE Library.
    4. Galvao, Antonio F. & Montes-Rojas, Gabriel & Song, Suyong, 2017. "Endogeneity bias modeling using observables," Economics Letters, Elsevier, vol. 152(C), pages 41-45.
    5. Byaro, Mwoya & Msafiri, Derick, 2021. "The uncertainty of natural gas consumption in Tanzania to support economic development. Evidence from Bayesian estimates," African Journal of Economic Review, African Journal of Economic Review, vol. 9(4), September.
    6. 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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