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We propose to model endogeneity bias using prior distributions of moment conditions. The estimator can be obtained both as a method-of-moments estimator and in a Ridge penalized regression framework. We show the estimator’s relation to a Bayesian estimator.
Persistent link: https://www.econbiz.de/10010729448
approach in order to address the bias resulting from the shrinkage of the individual effects. …
Persistent link: https://www.econbiz.de/10011041838