Gao, Chuanming; Lahiri, Kajal - In: Econometrics : open access journal 7 (2019) 3/33, pp. 1-28
We compare the finite sample performance of a number of Bayesian and classical procedures for limited information simultaneous equations models with weak instruments by a Monte Carlo study. We consider Bayesian approaches developed by Chao and Phillips, Geweke, Kleibergen and van Dijk, and...