| Item type |
ディスカッションペーパー / Discussion Paper(1) |
| 公開日 |
2011-01-24 |
| タイトル |
|
|
タイトル |
Bayesian Model Averaging in the Instrumental Variable Regression Model |
|
言語 |
en |
| 言語 |
|
|
言語 |
eng |
| キーワード |
|
|
主題Scheme |
Other |
|
主題 |
Bayesian |
| キーワード |
|
|
主題Scheme |
Other |
|
主題 |
endogeneity |
| キーワード |
|
|
主題Scheme |
Other |
|
主題 |
simultaneous equations |
| キーワード |
|
|
主題Scheme |
Other |
|
主題 |
reversible jump Markov chain Monte Carlo |
| 資源タイプ |
|
|
資源タイプ |
technical report |
| ID登録 |
|
|
ID登録 (DOI) |
10.24545/00001053 |
|
ID登録タイプ |
JaLC |
| 著者 |
KOOP, Gary
LEON-GONZALEZ, Roberto
STRACHAN, Rodney
|
| 著者所属 |
|
|
値 |
University of Strathclyde; Rimini Center for Economic Analysis |
| 著者所属 |
|
|
値 |
政策研究大学院大学 / National Graduate Institute for Policy Studies; Rimini Center for Economic Analysis |
| 著者所属 |
|
|
値 |
The Australian National University; Rimini Center for Economic Analysis |
| 分野 |
|
|
内容記述タイプ |
Other |
|
内容記述 |
経済学 / Economics |
| 抄録 |
|
|
内容記述タイプ |
Abstract |
|
内容記述 |
This paper considers the instrumental variable regression model when there is uncertainly about the set of instruments, exogeneity restrictions, the validity of identifying restrictions and the set of exogenous regressors. This uncertainly can result in a huge number of models. To avoid statistical problems associated with standard model selection procedures, we develop a reversible jump Markov chain Monte Carlo algorithm that allows us to do Bayesian model averaging. The algorithm is very flexible and can be easily adapted to analyze any of the different priors that have been proposed in the Bayesian instrumental variables literature. We show how to calculate the probability of any relevant restriction (e.g. the posterior probability that over-identifying restrictions hold) and discuss diagnostic checking using the posterior distribution of discrepancy vectors. We illustrate our methods in a returns-to-schooling application. |
| 内容記述 |
|
|
内容記述タイプ |
Other |
|
内容記述 |
JEL Classification Codes: C11, C30 |
| 発行年 |
|
|
値 |
2011-01 |
| 書誌情報 |
en : GRIPS Discussion Papers
Report No. DP10-32,
発行日 2011-01-24
|
| 出版者 |
|
|
出版者 |
GRIPS Policy Research Center |
|
言語 |
en |
| 関連サイト |
|
|
関連タイプ |
isIdenticalTo |
|
|
識別子タイプ |
URI |
|
|
関連識別子 |
https://ideas.repec.org/p/ngi/dpaper/10-32.html |
|
|
関連名称 |
https://ideas.repec.org/p/ngi/dpaper/10-32.html |
| 著者情報 |
|
|
内容記述タイプ |
Other |
|
内容記述 |
https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/ |
| 著者版フラグ |
|
|
出版タイプ |
AM |
|
出版タイプResource |
http://purl.org/coar/version/c_ab4af688f83e57aa |
DP10-32.pdf (500.2 kB)
