Estimation of dynamic and ARCH Tobit models

DOI10.1016/S0304-4076(98)00095-5MaRDI QIDQ1806698zbMATH OpenWikidataFDO

Authors Lung-fei Lee

Publication date 8 November 1999

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

censoringGARCHvariance reductiondynamic modelssimulated likelihoodARCHrenewalstable algorithmsimulation estimationsimulated moment

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cites work

• scientific article; zbMATH DE number 3815002 (Why is no real title available?)
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• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• A tobit model with garch errors
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• Bayes inference in the Tobit censored regression model
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone
• Estimation of Relationships for Limited Dependent Variables
• Generalized autoregressive conditional heteroscedasticity
• Limited-dependent rational expectations models with future expectations
• Monte-Carlo evaluation of multivariate normal probabilities
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Regression Analysis when the Dependent Variable Is Truncated Normal
• Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• Simulation-based inference. A survey with special reference to panel data models
• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Switching state-space models: likelihood function, filtering and smoothing
• The Common Structure of Tests for Selectivity Bias, Serial Correlation, Heteroscedasticity and Non-Normality in the Tobit Model

Cited in

(10)

• Estimation of the SUR Tobit model via the MCECM algorithm.
• scientific article; zbMATH DE number 1210536 (Why is no real title available?)
• A Class of Models for Aggregated Traffic Volume Time Series
• Generalized Tobit models: diagnostics and application in econometrics
• Small sample performance of parameter estimators for tobit modesl with serial correlation^*
• A bayesian approach to dynamic tobit models
• A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models
• Stationarity and mixing properties of the dynamic Tobit model
• Mixing properties of the dynamic Tobit model with mixing errors
• Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers

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