Estimation of dynamic and ARCH Tobit models

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

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Cites Work

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Estimation of Relationships for Limited Dependent Variables
Limited-dependent rational expectations models with future expectations
Simulation-based inference. A survey with special reference to panel data models
Bayes inference in the Tobit censored regression model
Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone
Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
Switching state-space models: likelihood function, filtering and smoothing
Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
Monte-Carlo evaluation of multivariate normal probabilities
Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
Generalized autoregressive conditional heteroscedasticity
Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
Conditional Heteroskedasticity in Asset Returns: A New Approach
The Common Structure of Tests for Selectivity Bias, Serial Correlation, Heteroscedasticity and Non-Normality in the Tobit Model
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
A Computationally Practical Simulation Estimator for Panel Data
A tobit model with garch errors
A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
Bayesian Inference in Econometric Models Using Monte Carlo Integration
Regression Analysis when the Dependent Variable Is Truncated Normal

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