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Bayesian analysis of the SUR Tobit model

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  • Ho-Chuan Huang

Abstract

This paper develops a practical sampling scheme for Bayesian analysis of correlated censored data using the seemingly unrelated Tobit regressions model. Posterior inference is performed via the Gibbs sampler with data augmentation algorithm. In particular, the relevant full conditional distributions needed in the use of Gibbs sampler are derived. The method is then applied to a real data set on the determination of the payments of cash and stock dividends.

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  • Ho-Chuan Huang, 2001. "Bayesian analysis of the SUR Tobit model," Applied Economics Letters, Taylor & Francis Journals, vol. 8(9), pages 617-622.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:9:p:617-622
    DOI: 10.1080/13504850010026069
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    References listed on IDEAS

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    1. Scollnik, David P. M., 1993. "A Bayesian analysis of a simultaneous equations model for insurance rate-making," Insurance: Mathematics and Economics, Elsevier, vol. 12(3), pages 265-286, June.
    2. Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, vol. 68(2), pages 339-360, August.
    3. Huang, Ho-Chuan (River), 1999. "Estimation of the SUR Tobit model via the MCECM algorithm," Economics Letters, Elsevier, vol. 64(1), pages 25-30, July.
    4. Kim, Byeong Soo & Maddala, G S, 1992. "Estimation and Specification Analysis of Models of Dividend Behavior Based on Censored Panel Data," Empirical Economics, Springer, vol. 17(1), pages 111-124.
    5. Jorge Cornick & Thomas L. Cox & Brian W. Gould, 1994. "Fluid Milk Purchases: A Multivariate Tobit Analysis," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(1), pages 74-82.
    6. Huang, Cliff J & Sloan, Frank A & Adamache, Killard W, 1987. "Estimation of Seemingly Unrelated Tobit Regressions via the EM Algorithm," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 425-430, July.
    7. Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
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    2. Al-Malkawi, Husam-Aldin Nizar & Ishaq Bhatti, M., 2020. "Are tests of dividend policy robust to estimation techniques: The case of an emerging economy?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
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    5. Huang, Ho-Chuan (River), 1999. "Estimation of the SUR Tobit model via the MCECM algorithm," Economics Letters, Elsevier, vol. 64(1), pages 25-30, July.
    6. Wang, Hainan & Mittelhammer, Ronald C. & McCluskey, Jill J. & Bai, Junfei, 2011. "Food Processing Degrees: Evidence from Beijing Household Survey," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103963, Agricultural and Applied Economics Association.
    7. Qian, Hang, 2009. "Estimating SUR Tobit Model while errors are gaussian scale mixtures: with an application to high frequency financial data," MPRA Paper 31509, University Library of Munich, Germany.
    8. Maksym Obrizan, 2011. "A Bayesian Model of Sample Selection with a Discrete Outcome Variable: Detecting Depression in Older Adults," Discussion Papers 41, Kyiv School of Economics.
    9. Maksym, Obrizan, 2010. "A Bayesian Model of Sample Selection with a Discrete Outcome Variable," MPRA Paper 28577, University Library of Munich, Germany.
    10. F. Louzada & P. H. Ferreira, 2016. "Modified inference function for margins for the bivariate clayton copula-based SUN Tobit Model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(16), pages 2956-2976, December.
    11. Colson, Gregory, 2009. "Improving nutrient content through genetic modification: Evidence from experimental auctions on consumer acceptance and willingness to pay for intragenic foods," ISU General Staff Papers 200901010800001872, Iowa State University, Department of Economics.
    12. Zhao, Yunfei & Marsh, Thomas L. & Li, Huixin, 2012. "An Evaluation Of Estimators For Censored Systems Of Equations Using Monte Carlo Simulation," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 129166, Agricultural and Applied Economics Association.

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