Estimation of dynamic and ARCH Tobit models

DOI10.1016/S0304-4076(98)00095-5zbMath0951.62095WikidataQ126589535 ScholiaQ126589535MaRDI QIDQ1806698

Lung-fei Lee

Publication date: 8 November 1999

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

zbMATH Keywords

ARCHGARCHvariance reductioncensoringsimulated likelihooddynamic modelsrenewalstable algorithmsimulation estimationsimulated moment

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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