کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096323 | 1376519 | 2012 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bayesian model averaging in the instrumental variable regression model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper considers the instrumental variable regression model when there is uncertainty about the set of instruments, exogeneity restrictions, the validity of identifying restrictions and the set of exogenous regressors. This uncertainty can result in a huge number of models. To avoid statistical problems associated with standard model selection procedures, we develop a reversible jump Markov chain Monte Carlo algorithm that allows us to do Bayesian model averaging. The algorithm is very flexible and can be easily adapted to analyze any of the different priors that have been proposed in the Bayesian instrumental variables literature. We show how to calculate the probability of any relevant restriction such as exogeneity or over-identification. We illustrate our methods in a returns-to-schooling application.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 171, Issue 2, December 2012, Pages 237-250
Journal: Journal of Econometrics - Volume 171, Issue 2, December 2012, Pages 237-250
نویسندگان
Gary Koop, Roberto Leon-Gonzalez, Rodney Strachan,