کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096209 | 1478578 | 2012 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Nonparametric estimation of an instrumental regression: A quasi-Bayesian approach based on regularized posterior
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
We propose a quasi-Bayesian nonparametric approach to estimating the structural relationship Ï among endogenous variables when instruments are available. We show that the posterior distribution of Ï is inconsistent in the frequentist sense. We interpret this fact as the ill-posedness of the Bayesian inverse problem defined by the relation that characterizes the structural function Ï. To solve this problem, we construct a regularized posterior distribution, based on a Tikhonov regularization of the inverse of the marginal variance of the sample, which is justified by a penalized projection argument. This regularized posterior distribution is consistent in the frequentist sense and its mean can be interpreted as the mean of the exact posterior distribution resulting from a Gaussian prior distribution with a shrinking covariance operator.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 170, Issue 2, October 2012, Pages 458-475
Journal: Journal of Econometrics - Volume 170, Issue 2, October 2012, Pages 458-475
نویسندگان
Jean-Pierre Florens, Anna Simoni,