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Stationarity and mixing properties of the dynamic Tobit model

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Listed author(s):
  • 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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File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(09)00443-1
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

Keywords: Dynamic Tobit model Stationarity Mixing;

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  1. de Jong, Robert M. & Woutersen, Tiemen, 2011. "Dynamic Time Series Binary Choice," Econometric Theory, Cambridge University Press, vol. 27(04), pages 673-702, August.
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Cited by:

  1. 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.
  2. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," Review of Economic Studies, Oxford University Press, vol. 82(3), pages 991-1030.

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