Bayes inference in the Tobit censored regression model

DOI10.1016/0304-4076(92)90030-UzbMath0742.62033MaRDI QIDQ1186049

Siddharta Chib

Publication date: 28 June 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Bayes estimation; Monte Carlo procedures; censoring; Gibbs sampling; data augmentation; diffuse priors; normally distributed errors; existence of posterior moments; Laplacian approximations; symmetric multivariate-\(t\) distributions; Tobit censored regression model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

62F15: Bayesian inference

65C99: Probabilistic methods, stochastic differential equations

Related Items

Bayesian analysis of an intervened poisson distribution, An index sampling algorithm for the bayesian analysis of a class of model selection problems, A bayesian approach to dynamic tobit models, A Bayesian analysis of a simultaneous equations model for insurance rate-making, MCMC algorithms for constrained variance matrices, Probabilistic quantitative precipitation field forecasting using a two-stage spatial model, Bayes regression with autoregressive errors. A Gibbs sampling approach, Bayesian inference in a simultaneous equation model with limited dependent variables, The hierarchical Tobit model: A case study in Bayesian computing, Stochastic volatility in asset prices. Estimation with simulated maximum likelihood, Monte-Carlo evaluation of multivariate normal probabilities, Bayesian analysis of cross-section and clustered data treatment models, Estimation of dynamic and ARCH Tobit models, Semiparametric Bayes analysis of longitudinal data treatment models, An econometric model of birth inputs and outputs for native americans., Efficient Gibbs sampler for Bayesian analysis of a sample selection model, A Truncated Bivariate t Distribution

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation of Relationships for Limited Dependent Variables
• Tobit models: A survey
• Bayesian analysis of dichotomous quantal response models
• Outlier detection in the state space model
• Mixed-Model Analysis of a Censored Normal Distribution with Reference to Animal Breeding
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Accurate Approximations for Posterior Moments and Marginal Densities
• The Calculation of Posterior Distributions by Data Augmentation
• Approximate Bayesian analysis of censored survival data
• Approximate marginal densities of nonlinear functions
• Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
• Bayesian Inference in Econometric Models Using Monte Carlo Integration