A Bayesian Approach to Dynamic Tobit Models.

This paper develops a posterior simulation method for a dynamic tobit model. The major obstacle rooted in such a problem lies in high dimensional integrals, induced by dependance among censored observations, in the likelihood function.

MoreLess

Year of publication:	1997
Authors:	Wei, S.X.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	ECONOMETRICS

More details

Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	30 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005634207