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