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Quasi‐maximum likelihood estimation of a censored equation system with a copula approach: meat consumption by U.S. individuals

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  • Steven T. Yen
  • Biing‐Hwan Lin

Abstract

A copula approach to censored system estimation is proposed. The quasi‐maximum likelihood estimator departs from the multivariate normal error distribution predominantly used in existing estimators and resolves the computational difficulty with multiple probability integrals in high‐dimensional censored systems. An application to individual meat consumption demonstrates that the procedure produces very different empirical estimates from existing Gaussian full‐information and quasi‐maximum likelihood estimates.

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  • Steven T. Yen & Biing‐Hwan Lin, 2008. "Quasi‐maximum likelihood estimation of a censored equation system with a copula approach: meat consumption by U.S. individuals," Agricultural Economics, International Association of Agricultural Economists, vol. 39(2), pages 207-217, September.
    • Handle: RePEc:bla:agecon:v:39:y:2008:i:2:p:207-217
    DOI: 10.1111/j.1574-0862.2008.00326.x
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    2. Tan, Andrew K. G. & Yen, Steven T. & Hasan, Abdul Rahman & Muhamed, Kamarudin, 2015. "Determinants of Purchase Likelihoods and Amounts Spent on Meat in Malaysia: A Sample Selection System Approach," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 44(1), pages 1-16, April.
    3. Moro, Daniele & Sckokai, Paolo, 2013. "The impact of decoupled payments on farm choices: Conceptual and methodological challenges," Food Policy, Elsevier, vol. 41(C), pages 28-38.
    4. Yen, Steven T. & Yuan, Yan & Liu, Xiaowen, 2009. "Alcohol consumption by men in China: A non-Gaussian censored system approach," China Economic Review, Elsevier, vol. 20(2), pages 162-173, June.
    5. F. Louzada & P. H. Ferreira, 2016. "Modified inference function for margins for the bivariate clayton copula-based SUN Tobit Model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(16), pages 2956-2976, December.
    6. Qian, Hang, 2009. "Estimating SUR Tobit Model while errors are gaussian scale mixtures: with an application to high frequency financial data," MPRA Paper 31509, University Library of Munich, Germany.

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