Bayesian Inference for Censored Panel Regression Model

Seung-Chun Lee, Byongsu Choi
2014 Communications for Statistical Applications and Methods  
It was recognized by some researchers that the disturbance variance in a censored regression model is frequently underestimated by the maximum likelihood method. This underestimation has implications for the estimation of marginal effects and asymptotic standard errors. For instance, the actual coverage probability of the confidence interval based on a maximum likelihood estimate can be significantly smaller than the nominal confidence level; consequently, a Bayesian estimation is considered to
more » ... on is considered to overcome this difficulty. The behaviors of the maximum likelihood and Bayesian estimators of disturbance variance are examined in a fixed effects panel regression model with a limited dependent variable, which is known to have the incidental parameter problem. Behavior under random effect assumption is also investigated.
doi:10.5351/csam.2014.21.2.193 fatcat:dnhonxjsfze2rbeapuiq7mhjna