Bayesian analysis of the SUR Tobit model

Applied Economics Letters

Volumn 8, Issue 9, 2001, Pages 617-622

  Huang, Ho Chuan ^a  

^a SHIH HSIN UNIVERSITY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33645070391     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850010026069     Document Type: Article

References (24)

1. Albert, J. H. and Chib, S. (1993) Bayesian analysis of binary and polychotomous response data, Journal of the American Statistical Association, 88, 669-79.
2. Casella, G. and George, E. I. (1992) Explaining the Gibbs sampler. American Statistician, 46, 167-74.
3. Chib, S. (1992), Bayes inference in the Tobit censored regression model. Journal of Econometrics, 51, 79-99.
4. Chib, S. (1995) Marginal likelihood for the Gibbs output. Journal of the American Statistical Association, 90, 1313-21.
5. Chib, S. and Greenberg, E. (1995) Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models. Journal of Econometrics, 68, 339-60.
6. Chib, S. and Greenberg, E. (1998) Bayesian analysis of the multivariate probit model. Biometrika, 85, 347-61.
7. Cornick, J., Cox, T. L. and Gould, B. W. (1994) Fluid milk purchases: a multivariate Tobit analysis. American Journal of Agricultural Economics, 76, 74-82.
8. Cragg, J. G. (1986) The relationship of dividend payments to the characteristics of the earnings streams of corporations. In Prices, Competition and Equilibrium (Eds) Peston, M. H. and Quandt, R. E. Barnes and Noble, New York, pp. 191-213.
9. Gelfand, A. E. and Smith, A. F. M. (1990) Sampling-based approaches to calculating marginal densities, Journal of the American Statistical Association, 85, 398-409.
10. Gelfand, A. E. and Smith, A. F. M. (1991) Gibbs sampling for marginal posterior expectations, Communications in Statistics: Theory and Methods, 20, 1747-66.
11. Geman and Geman (1984) Stochastic relaxation, Gibbs distributions and the Bayesian restoration of images, IEEE Transactions on Pattern Analysis and Machine Intelligence, 6, 721-41.
12. Huang, C. J., Sloan, F. A. and Adamache, K. W. (1987) Estimation of seemingly unrelated Tobit regressions via the EM algorithm, Journal of Business & Economic Statistics, 5, 425-30.
13. Huang, R. H. C. (1999) Estimation of the SUR Tobit model via the MCECM algorith, Economics Letters, 64, 25-30.
14. Kim, B. S. and Maddala, G. S. (1992) Estimation and specification analysis of models of dividend behavior based on censored panel data, Empirical Economics, 17, 111-24.
15. Lintner, J. (1956) Distribution of incomes of corporations among dividends, retained earnings, and taxes, American Economic Review, 46, 97-113.
16. Long, J. (1978) The market valuation of cash dividends: A case to consider, Journal of Financial Economics, 6, 235-64.
17. Meng, X. and Rubin, D. B. (1996) Efficient methods for estimation and testing with seemingly unrelated regressions in the presence of latent variables and missing observations. In Bayesian Analysis in Statistics and Econometrics, (Eds) Berry, D. A., Chaloner, K. M. and Geweke, J. K. John Wiley & Sons, Inc., pp. 215-27.
18. Percy, D. F., (1992) Prediction for seemingly unrelated regressions, Journal of the Royal Statistical Society, B, 54, 243-52.
19. Robert, C. P. (1995) Simulation of truncated normal variables, Statistics and Computing, 5, 121-5.
20. Scollnik, D. P. M. (1993) A Bayesian analysis of a simultaneous equations model for insurance rate-making, Insurance: Mathematics and Economics, 12, 265-86.
21. Tanner, M. A. (1996) Tools for Statistical Inference. Springer-Verlag, New York.
22. Tanner, M. A. and Wong, W. H. (1987) The calculation of posterior distributions by data augmentation, Journal of the American Statistical Association, 82, 427-36.
23. Tobin, J. (1958) Estimation of relationships for limited dependent variables, Econometrica, 26, 24-36.
24. Zellner, A. (1962) An efficient method of estimating seemingly unrelated regressions and tests for aggregate bias, Journal of the American Statistical Association, 57, 348-68.