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...

The performance of Monte Carlo integration methods like importance sampling or Markov Chain Monte Carlo procedures greatly depends on the choice of the importance or candidate density. Usually, such a density has to be "close" to the target density in order to yield numerically accurate results...

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...