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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.

Suggested Citation

  • Hahn, Jinyong & Kuersteiner, Guido, 2010. "Stationarity and mixing properties of the dynamic Tobit model," Economics Letters, Elsevier, vol. 107(2), pages 105-111, May.
    • Handle: RePEc:eee:ecolet:v:107:y:2010:i:2:p:105-111
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    References listed on IDEAS

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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. 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.
    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.
    3. repec:eee:ecolet:v:162:y:2018:i:c:p:112-115 is not listed on IDEAS

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