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

DOI10.1016/J.JECONOM.2006.06.009zbMATH Open1418.62470OpenAlexW3022293703MaRDI QIDQ280238FDOQ280238

Lennart F. Hoogerheide, Johan F. Kaashoek, Herman K. Van Dijk

Publication date: 9 May 2016

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

Full work available at URL: https://repub.eur.nl/pub/2007/ei200512.pdf

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• scientific article; zbMATH DE number 1219011

zbMATH Keywords

Markov chain Monte Carloimportance samplinginstrumental variablesneural networksreduced rank

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cites Work

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Cited In (22)

• Reversible jump MCMC in mixtures of normal distributions with the same component means
• Marginal Likelihood Estimation with the Cross-Entropy Method
• Estimation uncertainty in structural inflation models with real wage rigidities
• Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
• Importance sampling from posterior distributions using copula-like approximations
• Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data
• Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small
• A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
• A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
• A Survey of Sequential Monte Carlo Methods for Economics and Finance
• Bayesian estimation and inference for log-ACD models
• On the precision of Calvo parameter estimates in structural NKPC models
• Multi-objective optimization using statistical models
• Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
• Bayesian estimation of smoothly mixing time-varying parameter GARCH models
• A generalized class of skew distributions and associated robust quantile regression models
• Challenges and opportunities for twenty first century Bayesian econometricians: a personal view
• Bayesian reconciliation of return predictability
• Sequentially adaptive Bayesian learning algorithms for inference and optimization
• Semi-parametric expected shortfall forecasting in financial markets
• Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
• Bayesian Instrumental Variables: Priors and Likelihoods

Uses Software

• tsbridge

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