Journal article

Bayesian estimation of a random coefficient model

WE Griffiths, RG Drynan, S Prakash

Journal of Econometrics | Published : 1979


This paper carries out a Bayesian analysis of the Hildreth-Houck (1968) random coefficient model and applies it to some cross-section production function data. Posterior distributions for mean coefficients, actual coefficients, variances and variance ratios are derived. The variance ratio posteriors are largely uninformative but they do lead to relatively informative densities on the variances, and the problem of negative variance estimates, obtained with previous techniques, is overcome. Posterior densities for the mean coefficients are not extremely sensitive to the variance ratios. © 1979.

University of Melbourne Researchers

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