Imbens, Guido; Chamberlain, Gary - National Bureau of Economic Research (NBER) - 1996
In this paper, we explore Bayesian inference in models with many instrumental variables that are potentially weakly correlated with the endogenous regressor. The prior distribution has a hierarchical (nested) structure. We apply the methods to the Angrist-Krueger (AK, 1991) analysis of returns...