论文信息 - Estimation of the SUR Tobit model via the MCECM algorithm

Estimation of the SUR Tobit model via the MCECM algorithm

Abstract 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.

Ho-Chuan Huang

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