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Quasi‐maximum likelihood estimation of a censored equation system with a copula approach: meat consumption by U.S. individuals
Author(s) -
Yen Steven T.,
Lin BiingHwan
Publication year - 2008
Publication title -
agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.29
H-Index - 82
eISSN - 1574-0862
pISSN - 0169-5150
DOI - 10.1111/j.1574-0862.2008.00326.x
Subject(s) - copula (linguistics) , estimator , maximum likelihood , econometrics , mathematics , multivariate statistics , statistics , multivariate normal distribution , maximum likelihood sequence estimation , estimation , economics , management
A copula approach to censored system estimation is proposed. The quasi‐maximum likelihood estimator departs from the multivariate normal error distribution predominantly used in existing estimators and resolves the computational difficulty with multiple probability integrals in high‐dimensional censored systems. An application to individual meat consumption demonstrates that the procedure produces very different empirical estimates from existing Gaussian full‐information and quasi‐maximum likelihood estimates.