A tobit model with garch errors

DOI10.1080/07474939808800404zbMath0893.62120OpenAlexW2052379533MaRDI QIDQ4385002

Gabriele Fiorentini, Giorgio Calzolari

Publication date: 13 April 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939808800404

zbMATH Keywords

Monte Carlo simulationsconditional heteroskedasticityTobittime series regressioncensored regressions

Mathematics Subject Classification ID

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

Related Items (2)

Estimation of dynamic and ARCH Tobit models ⋮ A conditionally heteroskedastic binary choice model for macro-financial time series

Cites Work

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• Estimation of Relationships for Limited Dependent Variables
• Tobit models: A survey
• Estimation in truncated samples when there is heteroscedasticity
• Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone
• Alternative covariance estimators of the standard Tobit model
• Rational expectations in limited dependent variable models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• An Investigation of the Robustness of the Tobit Estimator to Non-Normality
• A non-nested test of level-differenced versus log-differenced stationary models

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