It is well known that standard frequentist inference breaks down in IV regressions with weak instruments. Bayesian inference with diffuse priors suffers from the same problem. We show that the issue ...

Bayesian Model Averaging (BMA) provides a coherent mechanism to address the problem of model uncertainty. In this paper we extend the BMA framework to panel data models where the lagged dependent ...

This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited ...