Parameter orthogonalization and Bayesian inference with many instruments

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 112
Issue: 2
Pages: 207-209

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

It is examined how Bayesian inference might proceed in models with many instruments. A new prior specification based on Lancaster's (1997) parameter orthogonalization is developed. This orthogonalization is shown to guarantee that the statistical problems associated with the first stage coefficients are not carried over in estimating the parameter of interest.

Technical Details

RePEc Handle
repec:eee:ecolet:v:112:y:2011:i:2:p:207-209
Journal Field
General
Author Count
2
Added to Database
2026-01-25