We propose a Bayesian approach for inference in a dynamic disequilibrium model. To circumvent the difficulties raised by the Maddala and Nelson (1974) specification in the dynamic case, we analyze a dynamic extended version of the disequilibrium model of Ginsburgh et al. (1980). We develop a...

In this paper we examine the problem of testing for heterogeneity and heterosckedasticity in a Bayesian framework. We first show that a model with random coefficients is identical to a model with heteroskedastic residuals. We then consider two approaches for testing. The first one is concerned...

type="main" xml:id="sjpe12038-abs-0001" <title type="main">Abstract</title> <p>We develop Bayesian inference for an unconditional quantile regression model. Our approach provides better estimates in the upper tail of the wage distribution as well as valid small sample confidence intervals for the Oaxaca–Blinder...</p>