کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097541 1376595 2007 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Bayesian analysis of a Tobit quantile regression model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Bayesian analysis of a Tobit quantile regression model
چکیده انگلیسی
This paper develops a Bayesian framework for Tobit quantile regression. Our approach is organized around a likelihood function that is based on the asymmetric Laplace distribution, a choice that turns out to be natural in this context. We discuss families of prior distributions on the quantile regression vector that lead to proper posterior distributions with finite moments. We show how the posterior distribution can be sampled and summarized by Markov chain Monte Carlo methods. A method for comparing alternative quantile regression models is also developed and illustrated. The techniques are illustrated with both simulated and real data. In particular, in an empirical comparison, our approach out-performed two other common classical estimators.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 137, Issue 1, March 2007, Pages 260-276
نویسندگان
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