A semi-parametric Bayesian approach to the instrumental variable problem

DOI10.1016/j.jeconom.2008.01.007zbMath1418.62434OpenAlexW1983382968MaRDI QIDQ292158

Robert E. McCulloch, Timothy G. Conley, Peter E. Rossi, Christian B. Hansen

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.01.007

zbMATH Keywords

instrumental variablesDirichlet process priorssemiparametric Bayesian inference

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Bayesian inference (62F15)

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Uses Software

• bayesm

Cites Work

• Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data
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• Instrumental Variables Regression with Weak Instruments
• Bayesian Density Estimation and Inference Using Mixtures
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• Getting It Right
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
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