Kleibergen, F.R.; Zivot, E. - Erasmus University Rotterdam, Econometric Institute - 1998
We establish the relationships between certain Bayesian and classical approaches to instrumental variable regression … classical 2SLS and LIML and in doing so provide some new insight to the small sample behavior of Bayesian and classical … Bayesian and classical procedures in linear regression models; i.e., Bayesian analysis with a diffuse prior leads to posteriors …