Gu, Yuanyuan; Fiebig, Denzil G.; Cripps, Edward; Kohn, … - In: Econometrics Journal 12 (2009) 2, pp. 324-339
Bayesian analysis is given of a random effects binary probit model that allows for heteroscedasticity. Real and simulated examples illustrate the approach and show that ignoring heteroscedasticity when it exists may lead to biased estimates and poor prediction. The computation is carried out by...