Efficient Gibbs sampler for Bayesian analysis of a sample selection model

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Efficient Gibbs sampler for Bayesian analysis of a sample selection model

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Omori, Yasuhiro

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Yasuhiro Omori

Abstract

We consider Bayesian estimation of a sample selection model and propose a highly efficient Gibbs sampler using the additional scale transformation step to speed up the convergence to the posterior distribution. Numerical examples are given to show the efficiency of our proposed sampler.

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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 77 (2007)
Issue (Month): 12 (July)
Pages: 1300-1311
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Handle: RePEc:eee:stapro:v:77:y:2007:i:12:p:1300-1311

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Paper
- Yasuhiro Omori, 2007. "Efficient Gibbs Sampler for Bayesian Analysis of a Sample Selection Model," CIRJE F-Series CIRJE-F-481, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

References listed on IDEAS
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.:

Chib, Siddhartha, 2007. "Analysis of treatment response data without the joint distribution of potential outcomes," Journal of Econometrics, Elsevier, vol. 140(2), pages 401-412, October. [Downloadable!] (restricted)
Chib, Siddhartha, 2001. "Markov chain Monte Carlo methods: computation and inference," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 57, pages 3569-3649 Elsevier. [Downloadable!] (restricted)
Amemiya, Takeshi, 1984. "Tobit models: A survey," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 3-61. [Downloadable!] (restricted)
James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation, Yale University. [Downloadable!]
Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99. [Downloadable!] (restricted)

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