Bayesian econometrics

Limited dependent variable model

Limited dependent variable models (tobit.R)

Example: Bernoulli regression: logit link and probit link (R code)

Example: Tobit model (R code)

Example: Probit model (R code)

· Tobit and probit models

(Koop, sections 9.3 and 9.4)

· Ordered and multinomial probit models

(Koop, section 9.5 and 9.6)

A few additional references

·Tobin (1958) Estimation of relationships for limited dependent variables, Econometrica, 26, 24-36.

· Fair (1978) A Theory of Extramarital Affairs,” Journal of Political Economy, 86, 45-6.

· McCulloch and Rossi (1994) An Exact Likelihood Analysis of the Multinomial Probit model, Journal of Econometrics, 64, 207-240.

· McCulloch, Polson and Rossi (2000) Bayesian Analysis of the Multinomial Probit Model with Fully Identified Parameters, Journal of Econometrics, 99, 173-193.

· Koop (2003) Bayesian Econometrics, Wiley.