van Dijk, Herman K.; Hoogerheide, Hoogerheide, L.F.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2004
Likelihoods and posteriors of econometric models with strong endogeneity and weak instruments may exhibit rather non-elliptical contours in the parameter space. This feature also holds for cointegration models when near non-stationarity occurs and determining the number of cointegrating...