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Estimation of dynamic and ARCH Tobit models

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Author Info
Lee, Lung-fei

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3X6504C-6/2/3b993fb661d0916781558d4e0b95abe5
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 92 (1999)
Issue (Month): 2 (October)
Pages: 355-390
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Handle: RePEc:eee:econom:v:92:y:1999:i:2:p:355-390

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

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  1. James D. Hamilton & Oscar Jorda, 2000. "A Model for the Federal Funds Rate Target," NBER Working Papers 7847, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  3. Jean-Paul Chavas & Kwansoo Kim, 2006. "An econometric analysis of the effects of market liberalization on price dynamics and price volatility," Empirical Economics, Springer, vol. 31(1), pages 65-82, March. [Downloadable!] (restricted)
  4. George Monokroussos, 2006. "A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function," Computing in Economics and Finance 2006 390, Society for Computational Economics. [Downloadable!]
  5. George Monokroussos, 2005. "Dynamic Limited Dependent Variable Modeling and US Monetary Policy," Computing in Economics and Finance 2005 460, Society for Computational Economics. [Downloadable!]
  6. Kamhon Kan & Chihwa Kao, 2005. "Simulation-Based Two-Step Estimation with Endogenous Regressors," Center for Policy Research Working Papers 76, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
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