van Dijk, Herman K.; Hoogerheide, Hoogerheide, L.F.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2005
Likelihoods and posteriors of instrumental variable regression models with strong endogeneity and/or weak instruments may exhibit rather non-elliptical contours in the parameter space. This may seriously affect inference based on Bayesian credible sets. When approximating such contours using...