Two-Stage Bayesian Model Averaging in Endogenous Variable Models
نویسندگان
چکیده
منابع مشابه
Two-Stage Bayesian Model Averaging in Endogenous Variable Models.
Economic modeling in the presence of endogeneity is subject to model uncertainty at both the instrument and covariate level. We propose a Two-Stage Bayesian Model Averaging (2SBMA) methodology that extends the Two-Stage Least Squares (2SLS) estimator. By constructing a Two-Stage Unit Information Prior in the endogenous variable model, we are able to efficiently combine established methods for a...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2013
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2013.807150