Instrumental variables regressions with uncertain exclusion restrictions: a Bayesian approach
排除限制不确定时的工具变量回归：贝叶斯方法
SUMMARY The identification of structural parameters in the linear instrumental variables (IV) model is typically achieved by imposing the prior identifying assumption that the error term in the structural equation of interest is orthogonal to the instruments. Since this exclusion restriction is fundamentally untestable, there are often legitimate doubts about the extent to which the exclusion restriction holds. In this paper I illustrate the effects of such prior uncertainty…