کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097306 1376581 2008 30 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A semi-parametric Bayesian approach to the instrumental variable problem
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A semi-parametric Bayesian approach to the instrumental variable problem
چکیده انگلیسی
We develop a Bayesian semi-parametric approach to the instrumental variable problem. We assume linear structural and reduced form equations, but model the error distributions non-parametrically. A Dirichlet process prior is used for the joint distribution of structural and instrumental variable equations errors. Our implementation of the Dirichlet process prior uses a normal distribution as a base model. It can therefore be interpreted as modeling the unknown joint distribution with a mixture of normal distributions with a variable number of mixture components. We demonstrate that this procedure is both feasible and sensible using actual and simulated data. Sampling experiments compare inferences from the non-parametric Bayesian procedure with those based on procedures from the recent literature on weak instrument asymptotics. When errors are non-normal, our procedure is more efficient than standard Bayesian or classical methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 144, Issue 1, May 2008, Pages 276-305
نویسندگان
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