Bayesian and Classical Approaches to Instrumental Variables Regression

By F. Kleibergen, Eric Zivot. 2003

162 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/843675c825e19802e4587d9d95c83477e1207db5

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In Statistics and Probability

Citations in the corpus

Regressor and random‐effects dependencies in multilevel models (2004, background): “There is a considerable literature that investigates the potential pitfalls in IV estimation when weak instruments are used and several recommendations to deal with these problems are made (STAIGER and STOCK, 1997; BOUND et al., 1995; NELSON and STARTZ, 1990; KLEIBERGEN and ZIVOT, 2003).”
Handling Endogenous Regressors by Joint Estimation Using Copulas (2012, unknown): “The normality assumption for the structural error seems reasonable and has been widely used in the literature (e.g., Villas-Boas and Winer 1999, Yang et al. 2003, Chao and Phillips 1998, Kleibergen and Zivot 2003, Rossi et al. 2005, Ebbes et al. 2005).”
Bayesian Instrumental Variables: Priors and Likelihoods (2014, background): “Comparisons between Bayesian and classical approaches have been discussed in Lindley and El-Sayyad (1968) and Kleibergen and Zivot (2003).”
Natural conjugate priors for the instrumental variables regression model applied to the Angrist–Krueger data (2006, methodology): “…of this posterior: as mentioned in the introduction, the Drèze approach is sensitive to the ordering of the endogenous variables, and the tails of the posterior become thinner when (possibly superfluous) instruments are added to the model, see e.g. Maddala (1976) and Kleibergen and Zivot (2003).”
Model Averaging in Economics: An Overview (2015, unknown): “For the LIML case, Kleibergen and Zivot (2003) show this equivalence for a particular choice of non-informative priors.”
Family background variables as instruments for education in income regressions: A Bayesian analysis (2012, unknown): “1 See Kleibergen and Zivot (2003) and Lancaster (2005) for an overview of Bayesian analysis of IV models and a comparison with classical IV regression.”
Frugal IV alternatives to identify the parameter for an endogenous regressor (2009, background): “Furthermore, standard asymptotic approximations break down (Staiger and Stock, 1997; Bound et al., 1995; Hahn and Hausman, 2002; Kleibergen and Zivot, 2003).”
A review of instrumental variable estimators for Mendelian randomization (2015, methodology): “Inferences from a likelihood model can also be obtained in a Bayesian framework.(72) Here, we consider a slightly different likelihood model from equation (10) that has been discussed previously in the literature.”