Chigira, Hiroaki; Shiba, Tsunemasa - Institute of Economic Research, Hitotsubashi University - 2007
We propose a Bayesian procedure to estimate heteroscedastic variances of the regression error term, when the form of heteroscedasticity is unknown. We use prior information that is elicited from the well-known Eicker-White Heteroscedasticity Consistent Variance- CovarianceMatrix Estimator, and...