Shrinkage priors for linear instrumental variable models with many instruments

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dc.contributor.authorHahn, P. Richard
dc.contributor.authorHEDIBERT FREITAS LOPES
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorHahn, P. Richard
dc.date.accessioned2023-07-25T14:30:50Z
dc.date.available2023-07-25T14:30:50Z
dc.date.issued2014
dc.description.otherThis paper addresses the weak instruments problem in linear instrumental vari able models from a Bayesian perspective. The new approach has two components. First, a novel predictor-dependent shrinkage prior is developed 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. Second, the new prior is implemented via an importance sampling scheme, which utilizes posterior Monte Carlo samples from a first-stage Bayesian regression analysis. This modular computation makes sensitivity analyses straightforward. Two simulation studies are provided to demonstrate the advantages of the new method. As an empirical illustration, the new method is used to estimate a key parameter in macro economic models: the elasticity of inter-temporal substitution. The empirical analysis produces substantive conclusions in line with previous studies, but certain inconsistencies of earlier analyses are resolvedpt_BR
dc.format.extent28 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueBEWP 207/2014
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5945
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.titleShrinkage priors for linear instrumental variable models with many instrumentspt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Exatas e da Terrapt_BR
local.typeWorking Paperpt_BR
relation.isAuthorOfPublication41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
relation.isAuthorOfPublication.latestForDiscovery41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca

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