| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0204 |
| 来源ID | Technical Working Paper 0204 |
| Hierarchical Bayes Models with Many Instrumental Variables | |
| Gary Chamberlain; Guido W. Imbens | |
| 发表日期 | 1996-09-01 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | 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 to schooling using instrumental variables formed by interacting quarter of birth with state/year dummy variables. Bound, Jaeger, and Baker (1995) show that randomly generated instrumental variables, designed to match the AK data set, give two-stage least squares results that look similar to the results based on the actual instrumental variables. Using a hierarchical model with the AK data, we find a posterior distribution for the parameter of interest that is tight and plausible. Using data with randomly generated instruments, the posterior distribution is diffuse. Most of the information in the AK data can in fact be extracted with quarter of birth as the single instrumental variable. Using artificial data patterned on the AK data, we find that if all the information had been in the interactions between quarter of birth and state/year dummies, then the hierarchical model would still have led to precise inferences, whereas the single instrument model would have suggested that there was no information in the data. We conclude that hierarchical modeling is a conceptually straightforward way of efficiently combining many weak instrumental variables. |
| URL | https://www.nber.org/papers/t0204 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563224 |
| 推荐引用方式 GB/T 7714 | Gary Chamberlain,Guido W. Imbens. Hierarchical Bayes Models with Many Instrumental Variables. 1996. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0204.pdf（678KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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