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Bayesian analysis of quantile regression for censored dynamic panel data

  • Genya Kobayashi
  • Hideo Kozumi

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    File URL: http://hdl.handle.net/10.1007/s00180-011-0263-3
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    Article provided by Springer in its journal Computational Statistics.

    Volume (Year): 27 (2012)
    Issue (Month): 2 (June)
    Pages: 359-380

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    Handle: RePEc:spr:compst:v:27:y:2012:i:2:p:359-380
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    1. Matthew J. Eichner & Mark B. McClellan & David A. Wise, 1997. "Health Expenditure Persistence and the Feasibility of Medical Savings Accounts," NBER Chapters, in: Tax Policy and the Economy, Volume 11, pages 91-128 National Bureau of Economic Research, Inc.
    2. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January.
    3. Lamarche, Carlos, 2010. "Robust penalized quantile regression estimation for panel data," Journal of Econometrics, Elsevier, vol. 157(2), pages 396-408, August.
    4. Yu, Keming, 2002. "Quantile regression using RJMCMC algorithm," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 303-315, August.
    5. Loudermilk, Margaret S., 2007. "Estimation of Fractional Dependent Variables in Dynamic Panel Data Models With an Application to Firm Dividend Policy," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 462-472, October.
    6. Richard Blundell & Steve Bond, 1995. "Initial conditions and moment restrictions in dynamic panel data models," IFS Working Papers W95/17, Institute for Fiscal Studies.
    7. Harding, Matthew & Lamarche, Carlos, 2009. "A quantile regression approach for estimating panel data models using instrumental variables," Economics Letters, Elsevier, vol. 104(3), pages 133-135, September.
    8. Yu, Keming & Moyeed, Rana A., 2001. "Bayesian quantile regression," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 437-447, October.
    9. Koenker, Roger, 2004. "Quantile regression for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 74-89, October.
    10. Moshe Buchinsky, 1998. "Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 88-126.
    11. Chib, Siddhartha & Jeliazkov, Ivan, 2006. "Inference in Semiparametric Dynamic Models for Binary Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 685-700, June.
    12. Jeffrey M. Wooldridge, 2005. "Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 39-54.
    13. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
    14. Luojia Hu, 2002. "Estimation of a Censored Dynamic Panel Data Model," Econometrica, Econometric Society, vol. 70(6), pages 2499-2517, November.
    15. Khan, Shakeeb & Powell, James L., 2001. "Two-step estimation of semiparametric censored regression models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 73-110, July.
    16. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
    17. Yu, Keming & Stander, Julian, 2007. "Bayesian analysis of a Tobit quantile regression model," Journal of Econometrics, Elsevier, vol. 137(1), pages 260-276, March.
    18. Tong Li & Xiaoyong Zheng, 2008. "Semiparametric Bayesian inference for dynamic Tobit panel data models with unobserved heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(6), pages 699-728.
    19. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
    20. Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
    21. Chen, Songnian & Khan, Shakeeb, 2008. "Semiparametric Estimation Of Nonstationary Censored Panel Data Models With Time Varying Factor Loads," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1149-1173, October.
    22. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
    23. Honore, Bo E. & Hu, Luojia, 2004. "Estimation of cross sectional and panel data censored regression models with endogeneity," Journal of Econometrics, Elsevier, vol. 122(2), pages 293-316, October.
    24. Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
    25. Athanasios Kottas & Milovan Krnjajic, 2009. "Bayesian Semiparametric Modelling in Quantile Regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(2), pages 297-319.
    26. Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
    27. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
    28. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    29. Kottas A. & Gelfand A.E., 2001. "Bayesian Semiparametric Median Regression Modeling," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1458-1468, December.
    30. Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, vol. 142(1), pages 379-398, January.
    31. Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 5-27, July.
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    33. repec:cup:cbooks:9780521845731 is not listed on IDEAS
    34. Ziliak, James P, 1997. "Efficient Estimation with Panel Data When Instruments Are Predetermined: An Empirical Comparison of Moment-Condition Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 419-31, October.
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    36. Sheng‐Kai Chang, 2011. "Simulation estimation of two‐tiered dynamic panel Tobit models with an application to the labor supply of married women," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(5), pages 854-871, 08.
    37. Honore, Bo & Khan, Shakeeb & Powell, James L., 2002. "Quantile regression under random censoring," Journal of Econometrics, Elsevier, vol. 109(1), pages 67-105, July.
    38. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    39. Cragg, John G, 1971. "Some Statistical Models for Limited Dependent Variables with Application to the Demand for Durable Goods," Econometrica, Econometric Society, vol. 39(5), pages 829-44, September.
    40. Hahn, Jinyong & Kuersteiner, Guido, 2010. "Stationarity and mixing properties of the dynamic Tobit model," Economics Letters, Elsevier, vol. 107(2), pages 105-111, May.
    41. Yue, Yu Ryan & Rue, Håvard, 2011. "Bayesian inference for additive mixed quantile regression models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 84-96, January.
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