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Semiparametric Bayesian inference for dynamic Tobit panel data models with unobserved heterogeneity

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Author Info
Tong Li (Department of Economics, Vanderbilt University, Nashville, TN, USA)
Xiaoyong Zheng (Department of Agricultural and Resource Economics, North Carolina State University, Raleigh, NC, USA)
Abstract

This paper develops semiparametric Bayesian methods for inference of dynamic Tobit panel data models. Our approach requires that the conditional mean dependence of the unobserved heterogeneity on the initial conditions and the strictly exogenous variables be specified. Important quantities of economic interest such as the average partial effect and average transition probabilities can be readily obtained as a by-product of the Markov chain Monte Carlo run. We apply our method to study female labor supply using a panel data set from the National Longitudinal Survey of Youth 1979. Copyright © 2008 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.1017
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File URL: http://qed.econ.queensu.ca:80/jae/2008-v23.6/
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 23 (2008)
Issue (Month): 6 ()
Pages: 699-728
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Handle: RePEc:jae:japmet:v:23:y:2008:i:6:p:699-728

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    Other versions:
  2. Olsen, Randall J, 1994. "Fertility and the Size of the U.S. Labor Force," Journal of Economic Literature, American Economic Association, vol. 32(1), pages 60-100, March. [Downloadable!] (restricted)
  3. Arellano, Manuel & Carrasco, Raquel, 2003. "Binary choice panel data models with predetermined variables," Journal of Econometrics, Elsevier, vol. 115(1), pages 125-157, July. [Downloadable!] (restricted)
    Other versions:
  4. Gronau, Reuben, 1973. "The Effect of Children on the Housewife's Value of Time," Journal of Political Economy, University of Chicago Press, vol. 81(2), pages S168-99, Part II, . [Downloadable!] (restricted)
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  12. Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Blackwell Publishing, vol. 47(1), pages 225-38, January. [Downloadable!] (restricted)
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  14. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(03), pages 409-431, August. [Downloadable!]
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