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A Comparison of Bayesian and Maximum Likelihood Estimations in a SUR Tobit Regression Model
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 Title & Authors
A Comparison of Bayesian and Maximum Likelihood Estimations in a SUR Tobit Regression Model
Lee, Seung-Chun; Choi, Byongsu;
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Both Bayesian and maximum likelihood methods are efficient for the estimation of regression coefficients of various Tobit regression models (see. e.g. Chib, 1992; Greene, 1990; Lee and Choi, 2013); however, some researchers recognized that the maximum likelihood method tends to underestimate the disturbance variance, which has implications for the estimation of marginal effects and the asymptotic standard error of estimates. The underestimation of the maximum likelihood estimate in a seemingly unrelated Tobit regression model is examined. A Bayesian method based on an objective noninformative prior is shown to provide proper estimates of the disturbance variance as well as other regression parameters
Seemingly unrelated Tobit regression model;maximum likelihood estimate;EM algorithm;Bayes estimation;Gibbs sampling;
 Cited by
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