Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments

Página do item simplificado
dc.contributor.authorHahn, P. Richard
dc.contributor.authorHe, Jingyu
dc.contributor.authorHEDIBERT FREITAS LOPES
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisNão Informadopt_BR
dc.creatorHahn, P. Richard
dc.creatorHe, Jingyu
dc.date.accessioned2022-08-20T14:01:32Z
dc.date.available2022-08-20T14:01:32Z
dc.date.issued2017
dc.description.otherA Bayesian approach for the many instruments problem in linear instrumental variable models is presented. The new approach has two components. First, a slice sampler is developed, which leverages a decomposition of the likelihood function that is a Bayesian analogue to two-stage least squares. The new sampler permits nonconjugate shrinkage priors to be implemented easily and efficiently. The new computational approach permits a Bayesian analysis of problems that were previously infeasible due to computational demands that scaled poorly in the number of regressors. Second, a new predictor dependent shrinkage prior is developed specifically for the many instruments setting. The prior is constructed based on a factor model decomposition of the matrix of observed instruments, allowing many instruments to be incorporated into the analysis in a robust way. Features of the new method are illustrated via a simulation study and three empirical examples.pt_BR
dc.format.extentp. 278-287pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doi10.1080/07350015.2016.1172968pt_BR
dc.identifier.issn15372707pt_BR
dc.identifier.issue2pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4067
dc.identifier.volume36pt_BR
dc.language.isoInglêspt_BR
dc.publisherNão informadopt_BR
dc.relation.isboundProdução vinculada ao Núcleo de Ciências de Dados e Decisão
dc.relation.ispartofJournal of Business & Economic Statisticspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsBayesian econometricspt_BR
dc.subject.keywordsHorseshoe priorpt_BR
dc.subject.keywordsInstrumental variablespt_BR
dc.subject.keywordsSlice samplerpt_BR
dc.titleBayesian Factor Model Shrinkage for Linear IV Regression With Many Instrumentspt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://www.tandfonline.com/doi/full/10.1080/07350015.2016.1172968
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
relation.isAuthorOfPublication.latestForDiscovery41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca

Arquivos

Pacote original

Agora exibindo 1 - 2 de 2
N/D
Nome:
R_Artigo_2017_Bayesian Factor Model Shrinkage_TC.pdf
Tamanho:
591.08 KB
Formato:
Adobe Portable Document Format
Descrição:
R_Artigo_2017_Bayesian Factor Model Shrinkage_TC
Baixar
Imagem de Miniatura
Nome:
Acesso_Primeira Pagina_Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments.pdf
Tamanho:
34.39 KB
Formato:
Adobe Portable Document Format
Baixar

Licença do pacote

Agora exibindo 1 - 1 de 1
N/D
Nome:
license.txt
Tamanho:
282 B
Formato:
Item-specific license agreed upon to submission
Descrição:
Baixar

Coleções

Coleção de Artigos Acadêmicos