Bayesian two-stage regression with parametric heteroscedasticity

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.

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Year of publication:	2008
Authors:	Luoma, Arto ; Luoto, Jani
Published in:	Bayesian econometrics. - Bingley, U.K : Emerald, ISBN 978-1-84855-309-5. - 2008, p. 309-328
Subject:	Schätztheorie \| Estimation theory \| Bayes-Statistik \| Bayesian inference \| Regressionsanalyse \| Regression analysis \| Heteroskedastizität \| Heteroscedasticity

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Type of publication:	Article
Language:	English
Other identifiers:	10.1016/S0731-9053(08)23010-0 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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