Bayesian analysis of multivariate sample selection models using Gaussian copulas

DOI10.1108/S0731-9053(2011)000027A013MaRDI QIDQ3295711zbMATH OpenFDO

Authors Phillip Li, Mohammad Arshad Rahman

Publication date 10 July 2020

Published in Advances in Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/S0731-9053(2011)000027A013

zbMATH Keywords

Bayesian estimationGaussian copulasMarkov chainMonte Carlosample selection

Mathematics Subject Classification ID

Missing data (62D10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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(6)

• Bayesian model selection of regular vine copulas
• A Bayesian hierarchical copula model
• Factors affecting economic output in developed countries: a copula approach to sample selection with panel data
• Multivariate effect priors in bivariate semiparametric recursive Gaussian models
• Fully and empirical Bayes approaches to estimating copula-based models for bivariate mixed outcomes using Hamiltonian Monte Carlo
• Bayesian inference in a sample selection model with multiple selection rules

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