2 papers
econ.EM2026
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.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…