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Bayesian two-stage regression with parametric heteroscedasticity
[chapter]
2008
Advances in Econometrics
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In this paper we expand Kleibergen and Zivot's (2003) Bayesian Two Stage (B2S) model by allowing for unequal variances. Our choice for modelling heteroscedasticity is a fully Bayesian parametric approach. As an application we present a cross-country Cobb-Douglas production function estimation.
doi:10.1016/s0731-9053(08)23010-0
fatcat:z3le43rnqrdxviktzha6gzskgi