The local to unity dynamic Tobit model
This paper considers highly persistent time series that are subject to nonlinearities in the form of censoring or an occasionally binding constraint, such as are regularly encountered in macroeconomics. A tractable candidate model for such series is the dynamic Tobit with a root local to unity. We s...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
2024
|