Comparison of MCMC algorithms for the estimation of Tobit model with non-normal error: The case of asymmetric Laplace distribution
AbstractThe analysis of Tobit model with non-normal error distribution is extended to the case of asymmetric Laplace distribution (ALD). Since the ALD probability density function is known to be continuous but not differentiable, the usual mode-finding algorithms such as maximum likelihood can be difficult and result in the inconsistent parameter estimates. Various Markov chain Monte Carlo algorithms including probability integral transformation, griddy Gibbs, random walk Metropolis–Hastings, and tailored randomized block Metropolis–Hastings (TaRB-MH) are applied and compared. Results from a simulation study suggest that TaRB-MH is the best performing algorithm. Using a survey dataset on the wage earnings of Thai male workers to compare the Tobit model with normal and ALD errors through the model marginal likelihood and deviance information criterion, the results reveal that the model with the ALD error is preferred.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 67 (2013)
Issue (Month): C ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/csda
Asymmetric Laplace distribution; Probability integration transformation; Griddy Gibbs; Tailored randomized block; Wage earnings of Thai male workers;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Elerian, O. & Chib, S. & Shephard, N., 1998.
"Likelihood INference for Discretely Observed Non-linear Diffusions,"
146, Economics Group, Nuffield College, University of Oxford.
- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001. "Likelihood Inference for Discretely Observed Nonlinear Diffusions," Econometrica, Econometric Society, vol. 69(4), pages 959-93, July.
- Neil Shephard & Ola Elerian & Siddhartha Chib, 1998. "Likelihood inference for discretely observed non-linear diffusions," Economics Series Working Papers 1998-W10, University of Oxford, Department of Economics.
- Ola Elerian & Siddhartha Chib & Neil Shephard, 2000. "Likelihood inference for discretely observed non-linear diffusions," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre.
- Bilias, Yannis & Chen, Songnian & Ying, Zhiliang, 2000. "Simple resampling methods for censored regression quantiles," Journal of Econometrics, Elsevier, vol. 99(2), pages 373-386, December.
- Paxson, C.H., 1991.
"Consumption And Income Seasonality In Thailand,"
150, Princeton, Woodrow Wilson School - Development Studies.
- Healy, Andrew J. & Jitsuchon, Somchai, 2007. "Finding the poor in Thailand," Journal of Asian Economics, Elsevier, vol. 18(5), pages 739-759, October.
- Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
- Robert M. Townsend, 1995. "Consumption Insurance: An Evaluation of Risk-Bearing Systems in Low-Income Economies," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 83-102, Summer.
- Omori, Yasuhiro & Miyawaki, Koji, 2010.
"Tobit model with covariate dependent thresholds,"
Computational Statistics & Data Analysis,
Elsevier, vol. 54(11), pages 2736-2752, November.
- Thomas Mroz, .
"The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions,"
University of Chicago - Population Research Center
84-8, Chicago - Population Research Center.
- Mroz, Thomas A, 1987. "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," Econometrica, Econometric Society, vol. 55(4), pages 765-99, July.
- Gong, Xiaodong & van Soest, Arthur, 2000.
"Family Structure and Female Labour Supply in Mexico City,"
IZA Discussion Papers
214, Institute for the Study of Labor (IZA).
- Xiaodong Gong & Arthur van Soest, 2002. "Family Structure and Female Labor Supply in Mexico City," Journal of Human Resources, University of Wisconsin Press, vol. 37(1), pages 163-191.
- Gong, X. & Soest, A.H.O. van, 1997. "Family Structure and Female Labour Supply in Mexico City," Discussion Paper 1997-114, Tilburg University, Center for Economic Research.
- Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
- Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
- Paxson, Christina H, 1992. "Using Weather Variability to Estimate the Response of Savings to Transitory Income in Thailand," American Economic Review, American Economic Association, vol. 82(1), pages 15-33, March.
- Chib S. & Jeliazkov I., 2001. "Marginal Likelihood From the Metropolis-Hastings Output," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 270-281, March.
- Jacob A. Mincer, 1974. "Introduction to "Schooling, Experience, and Earnings"," NBER Chapters, in: Schooling, Experience, and Earnings, pages 1-4 National Bureau of Economic Research, Inc.
- David J. Spiegelhalter & Nicola G. Best & Bradley P. Carlin & Angelika van der Linde, 2002. "Bayesian measures of model complexity and fit," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 583-639.
- Yu, Keming & Stander, Julian, 2007. "Bayesian analysis of a Tobit quantile regression model," Journal of Econometrics, Elsevier, vol. 137(1), pages 260-276, March.
- Alan S. Blinder, 1973. "Wage Discrimination: Reduced Form and Structural Estimates," Journal of Human Resources, University of Wisconsin Press, vol. 8(4), pages 436-455.
- Chib, Siddhartha & Ramamurthy, Srikanth, 2010. "Tailored randomized block MCMC methods with application to DSGE models," Journal of Econometrics, Elsevier, vol. 155(1), pages 19-38, March.
- Jacob A. Mincer, 1974. "Schooling, Experience, and Earnings," NBER Books, National Bureau of Economic Research, Inc, number minc74-1, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.