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 inferenceinstrumental variablesdirect Monte Carlonumerical 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

• scientific article; zbMATH DE number 15816 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• scientific article; zbMATH DE number 3062534 (Why is no real title available?)
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• A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model
• A semi-parametric Bayesian approach to the instrumental variable problem
• Bayesian Limited Information Analysis of the Simultaneous Equations Model
• Bayesian near-boundary analysis in basic macroeconomic time-series models☆
• Bayesian regression analysis using poly-t densities
• Contemporary Bayesian Econometrics and Statistics
• Hierarchical Bayesian analysis of the seemingly unrelated regression and simultaneous equations models using a combination of direct Monte Carlo and importance sampling techniques
• Monte Carlo strategies in scientific computing
• 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
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration

Cited in

(6)

• Bayesian estimation of nonlinear equilibrium models with random coefficients
• 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
• Sequentially adaptive Bayesian learning algorithms for inference and optimization
• Bayesian reconciliation of return predictability
• Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions
• Bayesian Instrumental Variables: Priors and Likelihoods

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