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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. Copyright (c)2008 International Association of Agricultural Economists.

Suggested Citation

  • 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
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    References listed on IDEAS

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    1. Steven T. Yen & Biing-Hwan Lin, 2006. "A Sample Selection Approach to Censored Demand Systems," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(3), pages 742-749.
    2. Avery, Robert B & Hansen, Lars Peter & Hotz, V Joseph, 1983. "Multiperiod Probit Models and Orthogonality Condition Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(1), pages 21-35, February.
    3. Kimhi, Ayal, 1999. "On the Tradeoff between Computational Simplicity and Asymptotic Properties in Multivariate Probit," Computational Economics, Springer;Society for Computational Economics, vol. 13(1), pages 93-101, February.
    4. Wales, T. J. & Woodland, A. D., 1983. "Estimation of consumer demand systems with binding non-negativity constraints," Journal of Econometrics, Elsevier, vol. 21(3), pages 263-285, April.
    5. Steven T. Yen, 2002. "Beverage consumption among US children and adolescents: full-information and quasi maximum-likelihood estimation of a censored system," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 29(1), pages 85-104, March.
    6. Steven T. Yen & Biing-Hwan Lin & David M. Smallwood, 2003. "Quasi- and Simulated-Likelihood Approaches to Censored Demand Systems: Food Consumption by Food Stamp Recipients in the United States," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(2), pages 458-478.
    7. Murray D. Smith, 2003. "Modelling sample selection using Archimedean copulas," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 99-123, June.
    8. Yen, Steven T. & Lin, Biing-Hwan & Davis, Christopher G., 2008. "Consumer knowledge and meat consumption at home and away from home," Food Policy, Elsevier, vol. 33(6), pages 631-639, December.
    9. Steven T. Yen, 2005. "A Multivariate Sample-Selection Model: Estimating Cigarette and Alcohol Demands with Zero Observations," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(2), pages 453-466.
    10. Ayal Kimhi, 1994. "Quasi Maximum Likelihood Estimation of Multivariate Probit Models: Farm Couples' Labor Participation," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(4), pages 828-835.
    11. Deborah J. Brown & Lee F. Schrader, 1990. "Cholesterol Information and Shell Egg Consumption," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(3), pages 548-555.
    12. Biing-Hwan Lin & Steven Yen, 2008. "Consumer knowledge, food label use and grain consumption in the US," Applied Economics, Taylor & Francis Journals, vol. 40(4), pages 437-448.
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    15. A. Colin Cameron & Tong Li & Pravin K. Trivedi & David M. Zimmer, 2004. "Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 566-584, December.
    16. Chern, Wen S & Loehman, Edna T & Yen, Steven T, 1995. "Information, Health Risk Beliefs, and the Demand for Fats and Oils," The Review of Economics and Statistics, MIT Press, vol. 77(3), pages 555-564, August.
    17. Zimmer, David M. & Trivedi, Pravin K., 2006. "Using Trivariate Copulas to Model Sample Selection and Treatment Effects: Application to Family Health Care Demand," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 63-76, January.
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    Cited by:

    1. 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), April.
    2. 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.
    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. 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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