| Estimation of the SUR Tobit Model via the MCECM Algorithm | |
|---|---|
| 學年 | 87 |
| 學期 | 2 |
| 出版（發表）日期 | 1999-07-01 |
| 作品名稱 | Estimation of the SUR Tobit Model via the MCECM Algorithm |
| 作品名稱（其他語言） | |
| 著者 | 黃河泉 |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Economics Letters 64(1), pp.25-30 |
| 摘要 | A novel approach is proposed to estimate the seemingly unrelated regressions model in which the dependent variables might be censored. Our method via the Monte Carlo version of the EM algorithm can be used to retrieve the latent values which greatly simplify the computation of the E-step and a sequence of conditional maximizations is performed to implement the M-step. Its practicality is illustrated by estimating a bivariate SUR Tobit model to determine the payments of cash and stock dividends. |
| 關鍵字 | SUR;Tobit;EM algorithm;Monte Carlo |
| 語言 | en |
| ISSN | |
| 期刊性質 | 國內 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72451 ) |
GoogleAnalytics