Bayesian two-stage regression with parametric heteroscedasticity

Arto Luoma and Jani Luoto

A chapter in Bayesian Econometrics, 2008, pp 309-328 from Emerald Group Publishing Limited

Abstract: In this paper, we expand Kleibergen and Zivot's (2003) Bayesian two-stage (B2S) model by allowing for unequal variances. Our choice for modeling heteroscedasticity is a fully Bayesian parametric approach. As an application, we present a cross-country Cobb–Douglas production function estimation.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(08)23010-0

DOI: 10.1016/S0731-9053(08)23010-0

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