Mixing properties of the dynamic Tobit model with mixing errors

Jon Michel and Robert de Jong

Economics Letters, 2018, vol. 162, issue C, 112-115

Abstract: Mixing properties for the dynamic Tobit model are shown for the case of mixing innovations. We show α or β-mixing given mixing assumptions on the errors. Additionally, we show that the results here hold for a more general class of nonlinear time series for which the dynamic Tobit model is a special case.

Keywords: Dynamic Tobit model; Mixing (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:162:y:2018:i:c:p:112-115

DOI: 10.1016/j.econlet.2017.11.008

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