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1. Bayesian two-stage regression with parametric heteroscedasticity

Author

Jani Luoto and Arto Luoma

Subjects
Estimation, Heteroscedasticity, Two stage regression, Statistics, Bayesian probability, Econometrics, Production (economics), Function (mathematics), Parametric statistics, Mathematics
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.

Published
2008
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