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econ.EM2025
Estimation of a Dynamic Tobit Model with a Unit Root
Anna Bykhovskaya, James A. Duffy
This paper studies robust estimation in the dynamic Tobit model under local-to-unity (LUR) asymptotics. We show that both Gaussian maximum likelihood (ML) and censored least absolu…
econ.EM2025
Inference on Common Trends in a Cointegrated Nonlinear SVAR
James A. Duffy, Xiyu Jiao
We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two-regime, piecewise affine SVAR; Mavr…
econ.EM2024
Common Trends and Long-Run Identification in Nonlinear Structural VARs
James A. Duffy, Sophocles Mavroeidis
While it is widely recognised that linear (structural) VARs may fail to capture important aspects of economic time series, the use of nonlinear SVARs has to date been almost entire…