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	2012/06
形態種別	学術雑誌
査読	査読あり
標題	Bayesian analysis of quantile regression for censored dynamic panel data
執筆形態	共著(筆頭者)
掲載誌名	COMPUTATIONAL STATISTICS
掲載区分	国外
出版社・発行元	SPRINGER HEIDELBERG
巻・号・頁	27(2),pp.359-380
著者・共著者	Genya Kobayashi, Hideo Kozumi
概要	This paper develops a Bayesian approach to analyzing quantile regression models for censored dynamic panel data. We employ a likelihood-based approach using the asymmetric Laplace error distribution and introduce lagged observed responses into the conditional quantile function. We also deal with the initial conditions problem in dynamic panel data models by introducing correlated random effects into the model. For posterior inference, we propose a Gibbs sampling algorithm based on a location-scale mixture representation of the asymmetric Laplace distribution. It is shown that the mixture representation provides fully tractable conditional posterior densities and considerably simplifies existing estimation procedures for quantile regression models. In addition, we explain how the proposed Gibbs sampler can be utilized for the calculation of marginal likelihood and the modal estimation. Our approach is illustrated with real data on medical expenditures.
DOI	10.1007/s00180-011-0263-3
ISSN	0943-4062