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Bayesian model averaging in the instrumental variable regression model

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney

Description

This paper considers the instrumental variable regression model when there is uncertainty about the set of instruments, exogeneity restrictions, the validity of identifying restrictions and the set of exogenous regressors. This uncertainty 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...[Show more]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/38039
Source: Journal of Econometrics
DOI: 10.1016/j.jeconom.2012.06.005

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