The Monte Carlo EM method for estimating multivariate tobit latent variable models

We propose a multivariate tobit (MT) latent variable model that is defined by a confirmatory factor analysis with covariates for analysing the mixed type data, which is inherently non-negative and sometimes has a large proportion of zeros. Some useful MT models are special cases of our proposed model. To obtain maximum likelihood estimates, we use the expectation maximum algorithm with its E-step via the Gibbs sampler made feasible by Monte Carlo simulation and its M-step greatly simplified by a sequence of conditional maximization. Standard errors are evaluated by inverting a Monte Carlo approximation of the information matrix using Louis's method. The methodology is illustrated with a simulation study and a real example.     

支付意愿与公共物品供给的模仿行为——吉林省污水处理项目的居民支付意愿实证研究

基于＂吉林城市环境改善项目＂的调查数据,本文利用Type Ⅱ Tobit模型分析了长春市和延吉市居民对于政府污水处理工程的支付意愿。所使用的Type Ⅱ Tobit模型能有效地解决调查数据中经常出现的样本选择偏差问题,从而能比既有文献中常用的OLS和Tobit模型更好地估计支付意愿值。此外,还研究了公共物品供给的模仿行为与收入水平的关系。对于所有收入水平的被调查者的回归结果显示出微弱的模仿行为,而按照收入水平划分后发现高收入和低收入群体的模仿行为显著高于中等收入群体。     

Asymptotic properties of a quast-maximum likelihood estimator in truncated regression model with serial correlation

Robinson (1982a) presented a general approach to serial correlation in limited dependent variable models and proved the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) for the Tobit model with serial correlation, obtained under the assumption of independent errors. This paper proves the strong consistency and asymptotic normality of the QMLE based on independent errors for the truncated regression model with serial correlation and gives consistent estimators for the limiting covariance matrix of the QMLE.     

基于医疗保险视角的老年人医疗费用研究

在"全国老年人口健康状况调查"2008年数据集基础上,应用Tobit多元嵌套模型考察不同类型医疗保险身份对老年人医疗费用的作用。结果表明,老年人的经济状况以及健康状况等因素(而不是医疗保险身份因素)对其医疗费用存在显著作用,当前医疗保险尚且不能满足我国老年人群医疗健康需求,老年人医疗费用主要还是以子女支付为主,其医疗保险身份呈现出典型"不足论"的特征。老年人医疗健康需求处于被压抑状态,医疗保险的覆盖率和保险额度都有待进一步提高,以增强老年人的医疗费用支付能力。     

Is it even rainier in North Vancouver? A non-parametric rank-based test for semicontinuous longitudinal data

When the outcome of interest is semicontinuous and collected longitudinally, efficient testing can be difficult. Daily rainfall data is an excellent example which we use to illustrate the various challenges. Even under the simplest scenario, the popular ‘two-part model’, which uses correlated random-effects to account for both the semicontinuous and longitudinal characteristics of the data, often requires prohibitively intensive numerical integration and difficult interpretation. Reducing data to binary (truncating continuous positive values to equal one), while relatively straightforward, leads to a potentially substantial loss in power. We propose an alternative: using a non-parametric rank test recently proposed for joint longitudinal survival data. We investigate the potential benefits of such a test for the analysis of semicontinuous longitudinal data with regards to power and computational feasibility.     

On the adequacy of the sargan distributionas an approxihation to the normal

The Sargan distribution has been suggested as an alternative to the normal distribution in models Eor which the likelihood function contains the c.d.f. of the errors. However, in such models an incorrect assumption on the error distribution causes the maximum likelihood estimators to be inconsis tent. We calculate this inconsistency, for three simple models. In models with a moderate degree of censoring or truncation, the inconsistency is large e3?0>!gh to he bothersome.     

能源开发、人力资本与全要素能源效率

梳理能源开发、人力资本作用于全要素能源效率的机制,以1998—2011年省际面板数据为样本,使用Undesirable-SBM模型测算了包含非期望产出的全要素能源效率,运用面板Tobit模型检验了能源开发、人力资本对全要素能源效率的影响方向与影响程度。结果显示:(1)能源开发相对强度与绝对强度对于全要素能源效率的影响并不相同,并且在全国层面和区域层面存在着不容忽视的差异;(2)人力资本未能带来全要素能源效率的显著改善;(3)结构变量与开放经济变量对于全要素能源效率的影响各不相同,节能减排政策对于全要素能源效率的促进效应已经显现。能源与碳排放约束下,应延伸资源经济链条、坚持以运用为导向的人力资本开发策略。     

农村生态型公共产品供给效率测度及影响因素分析

农村地区生态型公共产品的有效供给关系国土生态环境安全、人居环境安全和生物多样性安全。基于陕西省的黄陵县、黄龙县、镇巴县和紫阳县257个村级“生活污水、厕所设施、生活垃圾回收、废旧农用设施回收”四类生态型公共设施的调研数据,利用产出导向型的DEA模型测度生态型公共产品供给效率,并采用Tobit 模型探讨影响生态型公共产品供给效率的主要影响因素,经研究发现,陕西农村地区生态型公共产品供给效率普遍较低,样本村生态型公共产品供给效率平均仅为0.039 8;影响因素分析发现,只有本村常住户数、外出务工占比对公共产品供给效率存在显著影响,而其他的经济发展水平、地理交通状况、居民聚集程度的影响不显著;本村常住户数规模越大,农村的生态型公共产品供给效率越高;外出务工占比则呈现显著负向影响,这表明劳动力流动会显著抑制农村生态型公共产品的供给效率。建议通过乡村振兴吸引农民工本地创业、就业,提高农村常住人口数量,进而提升农村生态型公共产品的供给效率。     

The Experimetrics of Public Goods: Inferring Motivations from Contributions

In public goods experiments, stochastic choice, censoring and motivational heterogeneity give scope for disagreement over the extent of unselfishness, and whether it is reciprocal or altruistic. We show that these problems can be addressed econometrically, by estimating a finite mixture model to isolate types, incorporating double censoring and a tremble term. Most subjects act selfishly, but a substantial proportion are reciprocal with altruism playing only a marginal role. Isolating reciprocators enables a test of Sugden’s model of voluntary contributions. We estimate that reciprocators display a self-serving bias relative to the model.      

Testing for heteroskedasticity in the tobit and probit models

Non-constant variance across observations (heteroskedasticity) results in the maximum likelihood estimators of tobit and probit model parameters being inconsistent. Some of the available tests for constant variance across observations (homoskedasticity) are discussed and examined in a small Monte Carlo experiment.