9 citations · 20 across the 9 of their papers we have counts for
Showing 2022Show all
2 papers · 1 filter
econ.EM2022★ 1 cited
Cointegration with Occasionally Binding Constraints
James A. Duffy, Sophocles Mavroeidis, Sam Wycherley
In the literature on nonlinear cointegration, a long-standing open problem relates to how a (nonlinear) vector autoregression, which provides a unified description of the short- an…
econ.EM2022★ 6 cited
The Local to Unity Dynamic Tobit Model
Anna Bykhovskaya, James A. Duffy
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 encounte…