Quasi-maximum likelihood estimation of a censored equation system with a copula approach: meat consumption by U.S. individuals
AbstractA 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. Copyright (c)2008 International Association of Agricultural Economists.
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Bibliographic InfoArticle provided by International Association of Agricultural Economists in its journal Agricultural Economics.
Volume (Year): 39 (2008)
Issue (Month): 2 (09)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0169-5150
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- 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.
- 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.
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