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...

We develop a reliable Bayesian inference for the RIF-regression model of Firpo, Fortin and Lemieux (Econometrica, 2009) in which we first estimate the log wage distribution by a mixture of normal densities. This approach is pursued so as to provide better estimates in the upper tail of the wage...