Hoogerheide, L.F.; Kaashoek, J.F.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 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...