A bayesian approach to dynamic tobit models
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DOI: 10.1080/07474939908800353
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Cited by:
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2023.
"Forecasting with a panel Tobit model,"
Quantitative Economics, Econometric Society, vol. 14(1), pages 117-159, January.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," NBER Working Papers 26569, National Bureau of Economic Research, Inc.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," CAEPR Working Papers 2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2021. "Forecasting with a Panel Tobit Model," Papers 2110.14117, arXiv.org, revised Jul 2022.
- Ordoñez-Callamand, Daniel & Hernandez-Leal, Juan D. & Villamizar-Villegas, Mauricio, 2018.
"When multiple objectives meet multiple instruments: Identifying simultaneous monetary shocks,"
International Review of Economics & Finance, Elsevier, vol. 58(C), pages 78-101.
- Daniel Ordoñez-Callamand & Juan D. Hernandez-Leal & Mauricio Villamizar-Villegas, 2017. "When Multiple Objectives Meet Multiple Instruments: Identifying Simultaneous Monetary Shocks," Borradores de Economia 997, Banco de la Republica de Colombia.
- N. H. Chan & A. E. Brockwell, 2006. "Long-memory dynamic Tobit models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 351-367.
- Hsieh, Ping-Hung & Yang, J. Jimmy, 2009. "A censored stochastic volatility approach to the estimation of price limit moves," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 337-351, March.
- Luc Bauwens & Michel Lubrano, 2007.
"Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 469-486.
- BAUWENS, Luc & LUBRANO, Michel, 2006. "Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market," LIDAM Discussion Papers CORE 2006050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LUBRANO, Michel, 2007. "Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market," LIDAM Reprints CORE 1918, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc, BAUWENS & Michel, LUBRANO, 2006. "Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market," Discussion Papers (ECON - Département des Sciences Economiques) 2006027, Université catholique de Louvain, Département des Sciences Economiques.
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- Dagne Getachew & Huang Yangxin, 2012. "Bayesian inference for a nonlinear mixed-effects Tobit model with multivariate skew-t distributions: application to AIDS studies," The International Journal of Biostatistics, De Gruyter, vol. 8(1), pages 1-24, September.
- Chavas, Jean-Paul & Kim, Kwansoo, 2005.
"An Econometric Analysis of Price Dynamics in the Presence of a Price Floor: The Case of American Cheese,"
Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 37(1), pages 1-15, April.
- Chavas, Jean-Paul & Kim, Kwansoo, 2005. "An Econometric Analysis of Price Dynamics in the Presence of a Price Floor: The Case of American Cheese," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 21-35, April.
- Jouchi Nakajima & Mike West, 2013. "Bayesian Analysis of Latent Threshold Dynamic Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 151-164, April.
- Diansheng Dong & Todd M. Schmit & Harry Kaiser, 2012. "Modelling household purchasing behaviour to analyse beneficial marketing strategies," Applied Economics, Taylor & Francis Journals, vol. 44(6), pages 717-725, February.
- Wei, Steven X., 2002. "A censored-GARCH model of asset returns with price limits," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 197-223, March.
- Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
- James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Jul 2023.
- Jean-Paul Chavas & Kwansoo Kim, 2006.
"An econometric analysis of the effects of market liberalization on price dynamics and price volatility,"
Empirical Economics, Springer, vol. 31(1), pages 65-82, March.
- Chavas, Jean-Paul & Kim, Kwansoo, 2001. "An Econometric Analysis of the Effects of Market Liberalization on Price Dynamics and Price Volatility," Working Papers 201568, University of Wisconsin-Madison, Department of Agricultural and Applied Economics, Food System Research Group.
- Chavas, Jean-Paul & Kim, Kwansoo, 2001. "An Econometric Analysis Of The Effects Of Market Liberalization On Price Dynamics And Price Volatility," 2001 Annual meeting, August 5-8, Chicago, IL 20649, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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- Anna Bykhovskaya & James A. Duffy, 2022. "The Local to Unity Dynamic Tobit Model," Papers 2210.02599, arXiv.org, revised May 2024.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
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Keywords
Bayesian inference; Dynamic Tobit model; The Gibbs sampler with the data augmentation; Monte Carlo simulation; truncated normal distribution;All these keywords.
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