Bayesian two-stage regression with parametric heteroscedasticity

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.

Citation

Luoma, A. and Luoto, J. (2008), "Bayesian two-stage regression with parametric heteroscedasticity", Chib, S., Griffiths, W., Koop, G. and Terrell, D. (Ed.) Bayesian Econometrics (Advances in Econometrics, Vol. 23), Emerald Group Publishing Limited, Leeds, pp. 309-328. https://doi.org/10.1016/S0731-9053(08)23010-0