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Bayesian endogeneity bias modeling |
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| Authors: | Gabriel Montes-Rojas Antonio F. Galvao |
| Affiliation: | 1. CONICET–Universidad de San Andrés, Argentina;2. Department of Economics, City University London, D306 Social Sciences Bldg, 10 Northampton Square, London EC1V 0HB, UK;3. Department of Economics, University of Iowa, W284 Pappajohn Business Building, 21 E. Market Street, Iowa City, IA 52242, United States |
| Abstract: | We propose to model endogeneity bias using prior distributions of moment conditions. The estimator can be obtained both as a method-of-moments estimator and in a Ridge penalized regression framework. We show the estimator’s relation to a Bayesian estimator. |
| Keywords: | C11 C52 |
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