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Prezados, gostaria de comunicar aos interessados Seminário: 28/09/2012 às 10hs na sala 221 Prof. Hedibert Lopes
Bussiness School
University of Chicago
TITLE: Bayesian instrumental variables: priors and
likelihoods
ABSTRACT: Instrumental variable (IV) regression
provides a number of statistical challenges due to the shape of
the likelihood. We review the main Bayesian literature on
instrumental variables and highlight these pathologies. We
discuss Jeffreys priors, the connection to the
errors-in-the-variables problems and more general error
distributions. We propose, as an alternative to the inverted
Wishart prior, a new Cholesky-based prior for the covariance
matrix of the errors in IV regressions. We argue that this prior
is more flexible and more robust thanthe inverted Wishart prior
since it is not based on only one tightness parameter and
therefore can be more informative about certain components of the
covariance matrix and less informative about others. We show how
prior-posterior inference can be formulated in a Gibbs sampler and
compare its performance in the weak instruments case for synthetic
as well as two illustrations based on well-known real data.
Obrigado. -- Ronaldo Dias Associate Professor University of Campinas www.ime.unicamp.br/~dias |