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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yu, K | - |
dc.contributor.author | Stander, J | - |
dc.coverage.spatial | 1-17 | en |
dc.date.accessioned | 2007-07-13T15:32:08Z | - |
dc.date.available | 2007-07-13T15:32:08Z | - |
dc.date.issued | 2007 | - |
dc.identifier.citation | Journal of Econometrics, 137(1): 260-276, Mar 2007 | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/1057 | - |
dc.description.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. | en |
dc.format.extent | 212860 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | Elsevier | en |
dc.subject | Asymmetric Laplace distribution; Bayes factor; Bayesian inference; Bayesian | en |
dc.subject | model | en |
dc.title | Bayesian analysis of a Tobit quantile regression model | en |
dc.type | Research Paper | en |
dc.identifier.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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FullText.pdf | 207.87 kB | Adobe PDF | View/Open |
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