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Title: | Bayesian analysis of a Tobit quantile regression model |
Authors: | Yu, K Stander, J |
Keywords: | Asymmetric Laplace distribution; Bayes factor; Bayesian inference; Bayesian;model |
Issue Date: | 2007 |
Publisher: | Elsevier |
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. |
URI: | http://bura.brunel.ac.uk/handle/2438/1057 |
DOI: | https://doi.org/10.1016/j.jeconom.2005.10.002 |
Appears in Collections: | Dept of Mathematics Research Papers Mathematical Sciences |
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