A Comparison of Some Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments

A Comparison of Some Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments

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 Zellner....

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Bibliographic Details
Main Authors: Chuanming Gao, Kajal Lahiri
Format: Article
Language:English
Published: MDPI AG 2019-07-01
Series:Econometrics
Subjects:
limited information estimation
weak instruments
Metropolis–Hastings algorithm
Gibbs sampler
Monte Carlo method
Online Access:https://www.mdpi.com/2225-1146/7/3/33

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