A quasi-Bayesian LP-IV estimator is proposed that regularizes impulse responses via a roughness-penalty prior on the GMM objective, reducing finite-sample RMSE while preserving first-order asymptotics.
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Quasi-Bayesian Local Projection Instrumental-Variables Method: Application to Renewable Energy and Electricity Prices
A quasi-Bayesian LP-IV estimator is proposed that regularizes impulse responses via a roughness-penalty prior on the GMM objective, reducing finite-sample RMSE while preserving first-order asymptotics.