Estimation of dynamic and ARCH Tobit models

DOI10.1016/S0304-4076(98)00095-5zbMATH Open0951.62095WikidataQ126589535 ScholiaQ126589535MaRDI QIDQ1806698FDOQ1806698

Authors: Lung-fei Lee 

Publication date: 8 November 1999

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

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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)

Cites Work

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• The Common Structure of Tests for Selectivity Bias, Serial Correlation, Heteroscedasticity and Non-Normality in the Tobit Model
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Cited In (10)

• Mixing properties of the dynamic Tobit model with mixing errors
• A bayesian approach to dynamic tobit models
• Title not available (Why is that?)
• Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers
• Estimation of the SUR Tobit model via the MCECM algorithm.
• A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models
• Small sample performance of parameter estimators for tobit modesl with serial correlation^*
• Generalized Tobit models: diagnostics and application in econometrics
• Stationarity and mixing properties of the dynamic Tobit model
• A Class of Models for Aggregated Traffic Volume Time Series

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