Kleibergen, Frank; Zivot, Zivot, E. - Faculteit der Economische Wetenschappen, Erasmus … - 1998
classical 2SLS and LIML and in doing so provide some new insight to the small sample behavior of Bayesian and classical … the priors that give rise to posteriors that have properties similar to classical 2SLS and LIML. As a by-product of this … approach we provide a novel way to determine the exact finite sample density of the LIML estimator and the prior that …