Bayesian Instrumental Variables: Priors and Likelihoods

dc.contributor.authorHEDIBERT FREITAS LOPES
dc.contributor.authorPolson, Nicholas G.
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisNão Informadopt_BR
dc.creatorPolson, Nicholas G.
dc.date.accessioned2022-08-19T21:46:37Z
dc.date.available2022-08-19T21:46:37Z
dc.date.issued2014
dc.description.otherInstrumental variable (IV) regression provides a number of statistical challenges due to the shape of the likelihood. We review the main Bayesian literature on instrumental variables and highlight these pathologies. We discuss Jeffreys priors, the connection to the errors-in-the variables problems and more general error distributions. We propose, as an alternative to the inverted Wishart prior, a new Cholesky-based prior for the covariance matrix of the errors in IV regressions. We argue that this prior is more flexible and more robust thanthe inverted Wishart prior since it is not based on only one tightness parameter and therefore can be more informative about certain components of the covariance matrix and less informative about others. We show how prior-posterior inference can be formulated in a Gibbs sampler and compare its performance in the weak instruments case for synthetic as well as two illustrations based on well-known real data.pt_BR
dc.format.extentp. 100-121pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doi10.1080/07474938.2013.807146pt_BR
dc.identifier.issn1532-4168pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4063
dc.identifier.volume33pt_BR
dc.language.isoInglêspt_BR
dc.publisherTaylor & Francis Onlinept_BR
dc.relation.ispartofEconometric Reviewspt_BR
dc.relation.urihttps://www.tandfonline.com/doi/full/10.1080/07474938.2013.807146pt_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.keywordsAngrist-Krueger datapt_BR
dc.subject.keywordsBayesian learningpt_BR
dc.subject.keywordsCholesky decompositionpt_BR
dc.subject.keywordsDemand for cigarettespt_BR
dc.subject.keywordsErrors-in-variablespt_BR
dc.subject.keywordsFat-tailspt_BR
dc.subject.keywordsInverted Wishartpt_BR
dc.subject.keywordsIV regressionpt_BR
dc.titleBayesian Instrumental Variables: Priors and Likelihoodspt_BR
dc.typejournal article
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
relation.isAuthorOfPublication.latestForDiscovery41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
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