Bayesian endogenous Tobit quantile regression

DOI10.1214/16-BA996zbMATH Open1384.62275arXiv1505.07541MaRDI QIDQ1699646FDOQ1699646

Authors: Genya Kobayashi 

Publication date: 23 February 2018

Published in: Bayesian Analysis (Search for Journal in Brave)

Abstract: This study proposes $p$-th Tobit quantile regression models with endogenous variables. In the first stage regression of the endogenous variable on the exogenous variables, the assumption that the $alpha$-th quantile of the error term is zero is introduced. Then, the residual of this regression model is included in the $p$-th quantile regression model in such a way that the $p$-th conditional quantile of the new error term is zero. The error distribution of the first stage regression is modelled around the zero $alpha$-th quantile assumption by using parametric and semiparametric approaches. Since the value of $alpha$ is a priori unknown, it is treated as an additional parameter and is estimated from the data. The proposed models are then demonstrated by using simulated data and real data on the labour supply of married women.

Full work available at URL: https://arxiv.org/abs/1505.07541

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zbMATH Keywords

Markov chain Monte Carloendogenous variableskew normal distributionasymmetric Laplace distributionDirichlet process mixtureBayesian Tobit quantile regression

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Linear inference, regression (62J99) Applications of statistics to economics (62P20)

Cited In (7)

• Bayesian tobit quantile regression with penalty
• Bayesian Tobit quantile regression with single-index models
• Bayesian analysis of a Tobit quantile regression model
• Bayesian quantile regression analysis for continuous data with a discrete component at zero
• Bayesian quantile regression using the skew exponential power distribution
• Tobit Liu estimation of censored regression model: an application to Mroz data and a Monte Carlo simulation study
• Fully Bayesian estimation of simultaneous regression quantiles under asymmetric Laplace distribution specification

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