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|Title:||Bayesian analysis of a Tobit quantile regression model|
|Keywords:||Asymmetric Laplace distribution; Bayes factor; Bayesian inference; Bayesian;model|
|Citation:||Journal of Econometrics, 137(1): 260-276, Mar 2007|
|Abstract:||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 dis- tribution, a choice that turns out to be natural in this context. We discuss families of prior distribution on the quantile regression vector that lead to proper posterior distributions with ¯nite moments. We show how the posterior distribution can be sampled and summarized by Markov chain Monte Carlo methods. A method for com- paring alternative quantile regression models is also developed and illustrated. The techniques are illustrated with both simulated and real data. In particular, in an em- pirical comparison, our approach out-performed two other common classical estimators.|
|Appears in Collections:||Dept of Mathematics Research Papers|
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