Efficient Gibbs sampler for Bayesian analysis of a sample selection model

We consider Bayesian estimation of a sample selection model and propose a highly efficient Gibbs sampler using the additional scale transformation step to speed up the convergence to the posterior distribution. Numerical examples are given to show the efficiency of our proposed sampler.

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Year of publication:	2007
Authors:	Omori, Yasuhiro
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 12, p. 1300-1311
Publisher:	Elsevier
Keywords:	Bayesian analysis Gibbs sampler Sample selection model Tobit model

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138069