Tobit Model with Covariate Dependent Thresholds
Tobit models are extended to allow threshold values which depend on individuals' characteristics. In such models, the parameters are subject to as many inequality constraints as the number of observations, and the maximum likelihood estimation which requires the numerical maximisation of the likelihood is often difficult to be implemented. Using a Bayesian approach, a Gibbs sampler algorithm is proposed and, further, the convergence to the posterior distribution is accelerated by introducing an additional scale transformation step. The procedure is illustrated using the simulated data, wage data and prime rate changes data.
|Date of creation:||Oct 2008|
|Date of revision:|
|Contact details of provider:|| Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033|
Web page: http://www.cirje.e.u-tokyo.ac.jp/index.html
More information through EDIRC
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.:
- Lin, Tsai-Fen & Schmidt, Peter, 1984. "A Test of the Tobit Specification against an Alternative Suggested by Cragg," The Review of Economics and Statistics, MIT Press, vol. 66(1), pages 174-77, February.
- Timothy Johnson, 2003. "On the use of heterogeneous thresholds ordinal regression models to account for individual differences in response style," Psychometrika, Springer;The Psychometric Society, vol. 68(4), pages 563-583, December.
- Melenberg, B. & Van Soest, A., 1991.
"Parametric and Semi-parametric Modelling of Vocation Expenditures,"
9144, Tilburg - Center for Economic Research.
- Melenberg, Bertrand & van Soest, Arthur, 1996. "Parametric and Semi-parametric Modelling of Vacation Expenditures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 59-76, Jan.-Feb..
- Melenberg, B. & van Soest, A.H.O., 1991. "Parametric and semi-parametric modelling of vacation expenditures," Discussion Paper 1991-44, Tilburg University, Center for Economic Research.
- Melenberg, B. & van Soest, A.H.O., 1996. "Parametric and semi-parametric modelling of vacation expenditures," Other publications TiSEM 14de3e83-71c1-4e9a-aa5e-3, Tilburg University, School of Economics and Management.
- Charemza, Wojciech W. & Majerowska, Ewa, 2000.
"Regulation of the Warsaw Stock Exchange: The portfolio allocation problem,"
Journal of Banking & Finance,
Elsevier, vol. 24(4), pages 555-576, April.
- Wojciech W. Charemza & Ewa Majerowska, . "Regulation of the Warsaw Stock Exchange: The Portfolio Allocation Problem," Discussion Papers in European Economics 98/1, Department of Economics, University of Leicester.
- Omori, Yasuhiro, 2007.
"Efficient Gibbs sampler for Bayesian analysis of a sample selection model,"
Statistics & Probability Letters,
Elsevier, vol. 77(12), pages 1300-1311, July.
- 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.
- Congdon, P., 2005. "Bayesian predictive model comparison via parallel sampling," Computational Statistics & Data Analysis, Elsevier, vol. 48(4), pages 735-753, April.
- Thomas Zuehlke, 2003. "Estimation of a Tobit model with unknown censoring threshold," Applied Economics, Taylor & Francis Journals, vol. 35(10), pages 1163-1169.
- Mroz, Thomas A, 1987.
"The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions,"
Econometric Society, vol. 55(4), pages 765-99, July.
- 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.
- 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.
- Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
- Wayne S. DeSarbo & Vithala R. Rao & Joel H. Steckel & Jerry Wind & Richard Colombo, 1987. "A Friction Model for Describing and Forecasting Price Changes," Marketing Science, INFORMS, vol. 6(4), pages 299-319.
- Christofides, Louis N. & Li, Dingding, 2005. "Nominal and real wage rigidity in a friction model," Economics Letters, Elsevier, vol. 87(2), pages 235-241, May.
- 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.
- Hill, Daniel H, 1987. "Derived Demand Estimation with Survey Experiments: Commercial Electric Vehicles," The Review of Economics and Statistics, MIT Press, vol. 69(2), pages 277-85, May.
- Amemiya, Takeshi, 1984. "Tobit models: A survey," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 3-61.
- 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.
- Forbes, Shawn M. & Mayne, Lucille S., 1989. "A friction model of the prime," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 127-135, March.
When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2008cf594. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CIRJE administrative office)
If references are entirely missing, you can add them using this form.