淡江大學機構典藏:Item 987654321/72451
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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72451


    Title: Estimation of the SUR Tobit Model via the MCECM Algorithm
    Authors: 黃河泉
    Contributors: 淡江大學財務金融學系
    Keywords: SUR;Tobit;EM algorithm;Monte Carlo
    Date: 1999-07-01
    Issue Date: 2011-10-24 10:28:18 (UTC+8)
    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.
    Relation: Economics Letters 64(1), pp.25-30
    DOI: 10.1016/S0165-1765(99)00075-0
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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