標題: | Statistical estimation of dynamic Tobit models |
作者: | Jon, Yow-Jen Chang, Wan-Ru Lan, Chien-Lun 資訊管理與財務金融系 註:原資管所+財金所 Department of Information Management and Finance |
關鍵字: | censoring;dynamic Tobit model;Poisson regression;Newton-Raphson algorithm;GHK simulator;simulated likelihood estimator |
公開日期: | 2006 |
摘要: | This paper considers the estimation of the parameters of the dynamic linear models where the dependent variable is discrete and truncated to the right of a known constant. Due to censoring, some dependent variables cannot be observed. Two approaches are considered: Newton-Raphson algorithm is used for the Poisson regression dynamic Tobit model and the SML-GHK simulator is used for the estimation of dynamic Tobit model whose lagged dependent variable is latent. Both approaches give similar prediction results in terms of the average relative prediction error. |
URI: | http://hdl.handle.net/11536/17398 |
ISBN: | 978-90-04-15542-8 |
ISSN: | 1573-4196 |
期刊: | RECENT PROGRESS IN COMPUTATIONAL SCIENCES AND ENGINEERING, VOLS 7A AND 7B |
Volume: | 7A-B |
起始頁: | 830 |
結束頁: | 833 |
Appears in Collections: | Conferences Paper |