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Tobit Model with Covariate Dependent Thresholds

  • Yasuhiro Omori

    (Faculty of Economics, University of Tokyo)

  • Koji Miyawaki

    (Graduate School of Economics, University of Tokyo)

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.

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Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-594.

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Length: 26pages
Date of creation: Oct 2008
Date of revision:
Handle: RePEc:tky:fseres:2008cf594
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