Bayesian analysis of instrumental variable models: acceptance-rejection within direct Monte Carlo

DOI10.1080/07474938.2013.807094MaRDI QIDQ5080436zbMATH OpenOpenAlexFDO

Authors Arnold Zellner, Tomohiro Ando, Nalan Baştürk, Lennart F. Hoogerheide, Herman K. Van Dijk

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1765/73371

zbMATH Keywords

acceptance-rejectionBayesian inferencedirect Monte Carloinstrumental variablesnumerical standard errors

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cites work

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• Bayesian near-boundary analysis in basic macroeconomic time-series models☆
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• On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
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Cited in

(6)

• Sequentially adaptive Bayesian learning algorithms for inference and optimization
• On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
• Bayesian Instrumental Variables: Priors and Likelihoods
• Bayesian estimation of nonlinear equilibrium models with random coefficients
• Bayesian reconciliation of return predictability
• Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions

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