Parameter orthogonalization and Bayesian inference with many instruments

DOI10.1016/J.ECONLET.2011.03.033zbMath1218.62014OpenAlexW2091925402MaRDI QIDQ2275668

Karsten Hansen, Jinyong Hahn

Publication date: 9 August 2011

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.03.033

zbMATH Keywords

orthogonalizationLIML

Mathematics Subject Classification ID

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

Cites Work

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• Weak Priors and Sharp Posteriors in Simultaneous Equation Models
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Orthogonal Parameters and Panel Data
• Random Effects Estimators with many Instrumental Variables
• The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables

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