Bayesian Instrumental Variables: Priors and Likelihoods

DOI10.1080/07474938.2013.807146zbMATH Open1491.62244OpenAlexW2047989136MaRDI QIDQ5080439FDOQ5080439

Authors: Hedibert F. Lopes, Nicholas G. Polson 

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.409.3040

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zbMATH Keywords

Cholesky decompositionerrors-in-variablesBayesian learningfat tailsinverted WishartAngrist-Krueger datademand for cigarettesIV regression

Mathematics Subject Classification ID

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

Cites Work

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Cited In (11)

• Bayesian instrumental variable estimation in linear measurement error models
• Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments
• Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data
• 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 analysis of instrumental variable models: acceptance-rejection within direct Monte Carlo
• Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
• A semi-parametric Bayesian approach to the instrumental variable problem
• Bayesian and classical approaches to instrumental variable regression
• Parameter orthogonalization and Bayesian inference with many instruments
• Bayesian reconciliation of return predictability
• Bayesian model averaging in the instrumental variable regression model

Uses Software

• bayesm

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