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Stationarity and mixing properties of the dynamic Tobit model

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  • Hahn, Jinyong
  • Kuersteiner, Guido

Abstract

We establish strict stationarity and strong mixing properties of the dynamic Tobit process. Using these results we show that the regularity conditions for bias corrections in general non-linear dynamic panel models are satisfied for the dynamic Tobit model.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 107 (2010)
Issue (Month): 2 (May)
Pages: 105-111

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Handle: RePEc:eee:ecolet:v:107:y:2010:i:2:p:105-111

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Dynamic Tobit model Stationarity Mixing;

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Cited by:
  1. Geert Dhaene & Koen Jochmans, 2014. "Split-Panel Jackknife Estimation of Fixed-Effect Models," Sciences Po Economics Discussion Papers 2014-03, Sciences Po Departement of Economics.
  2. Genya Kobayashi & Hideo Kozumi, 2012. "Bayesian analysis of quantile regression for censored dynamic panel data," Computational Statistics, Springer, vol. 27(2), pages 359-380, June.

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