Nonparametric Estimation of An Instrumental Regression: A Quasi-Bayesian Approach Based on Regularized Posterior

Jean-Pierre Florens and Anna Simoni

No 10-176, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: We propose a Quasi-Bayesian nonparametric approach to estimating the structural relationship ' among endogenous variables when instruments are available. We show that the posterior distribution of ' is inconsistent in the frequentist sense. We interpret this fact as the ill-posedness of the Bayesian inverse problem defined by the relation that characterizes the structural function '. To solve this problem, we construct a regularized posterior distribution, based on a Tikhonov regularization of the inverse of the marginal variance of the sample, which is justified by a penalized projection argument. This regularized posterior distribution is consistent in the frequentist sense and its mean can be interpreted as the mean of the exact posterior distribution resulting from a gaussian prior distribution with a shrinking covariance operator.

JEL-codes: C11 C14 C30 (search for similar items in EconPapers)
Date: 2010-03
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.tse-fr.eu/sites/default/files/medias/doc/wp/etrie/10-176.pdf Full text (application/pdf)

Related works:
Journal Article: Nonparametric estimation of an instrumental regression: A quasi-Bayesian approach based on regularized posterior (2012)
Working Paper: Nonparametric estimation of an instrumental regression: A quasi-Bayesian approach based on regularized posterior (2012)
Working Paper: Nonparametric estimation of an instrumental regression: A quasi-Bayesian approach based on regularized posterior (2012)
Working Paper: Nonparametric Estimation of An Instrumental Regression: A Quasi-Bayesian Approach Based on Regularized Posterior (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:22895

Access Statistics for this paper

More papers in TSE Working Papers from Toulouse School of Economics (TSE) Contact information at EDIRC.
Bibliographic data for series maintained by ().