コバヤシ　ゲンヤ   KOBAYASHI GENYA   小林　弦矢    所属   明治大学  商学部    職種   専任教授
言語種別	英語
発行・発表の年月	2017/03
形態種別	学術雑誌
査読	査読あり
標題	Bayesian Endogenous Tobit Quantile Regression
執筆形態	単著
掲載誌名	BAYESIAN ANALYSIS
掲載区分	国外
出版社・発行元	INT SOC BAYESIAN ANALYSIS
巻・号・頁	12(1),pp.161-191
著者・共著者	Genya Kobayashi
概要	This study proposes p-th Tobit quantile regression models with endogenous variables. In the first stage regression of the endogenous variable on the exogenous variables, the assumption that the alpha-th quantile of the error term is zero is introduced. Then, the residual of this regression model is included in the p-th quantile regression model in such a way that the p-th conditional quantile of the new error term is zero. The error distribution of the first stage regression is modelled around the zero alpha-th quantile assumption by using parametric and semiparametric approaches. Since the value of alpha is a priori unknown, it is treated as an additional parameter and is estimated from the data. The proposed models are then demonstrated by using simulated data and real data on the labour supply of married women.
DOI	10.1214/16-BA996
ISSN	1931-6690