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...

This paper introduces the logarithmic autoregressive conditional duration (Log-ACD) model and compares it with the ACD model of Engle and Russell [1998]. The logarithmic version allows to introduce in the model additional variables without sign restrictions on their coefficients. We apply the...

In a Bayesian analysis of the linear regression model, one may have prior information on the error variance. If one incorporates this kind of information in a natural conjugate prior density, under certain conditions the posterior mean of the coefficients on which one is informative is equal to...