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Simultaneous Equations Bayesian Bootstrap

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  • Heckelei, Thomas
  • Mittelhammer, Ronald C.

Abstract

This paper introduces a semi-parametric bootstrapping approach to Bayesian analysis of structural parameters in simultaneous equation systems that extends the single and multivariate regression approaches of Heckelei and Mittelhammer (1996, 2002) to models with endogenous regressors. Monte Carlo evidence demonstrated the considerable accuracy of the procedure in approximating posterior distributions, even for small sample sizes.

Suggested Citation

  • Heckelei, Thomas & Mittelhammer, Ronald C., 2002. "Simultaneous Equations Bayesian Bootstrap," 2002 Annual meeting, July 28-31, Long Beach, CA 19873, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea02:19873
    DOI: 10.22004/ag.econ.19873
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    File URL: https://ageconsearch.umn.edu/record/19873/files/sp02he03.pdf
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    References listed on IDEAS

    as
    1. Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
    2. Heckelei, Thomas & Mittelhammer, Ron C., 2003. "Bayesian bootstrap multivariate regression," Journal of Econometrics, Elsevier, vol. 112(2), pages 241-264, February.
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    Cited by:

    1. Xi, Jing & Heckelei, Thomas & Mittelhammer, Ronald C., 2003. "Semiparametric Bayesian Analysis Of Simultaneous Systems With An Application To Japanese Meat Demand," 2003 Annual meeting, July 27-30, Montreal, Canada 22210, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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