KOBAYASHI GENYA    Department   Undergraduate School  , School of Commerce    Position   Professor
Language	English
Publication Date	2017/03
Type	Academic Journal
Peer Review	Peer reviewed
Title	Bayesian Endogenous Tobit Quantile Regression
Contribution Type	Sole-authored
Journal	BAYESIAN ANALYSIS
Journal Type	Another Country
Publisher	INT SOC BAYESIAN ANALYSIS
Volume, Issue, Page	12(1),pp.161-191
Author and coauthor	Genya Kobayashi
Details	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