Long-memory dynamic Tobit models
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A. E. Brockwell; N. H. Chan
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Article
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2006
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John Wiley and Sons
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English
β 454 KB
We introduce a long-memory dynamic Tobit model, defining it as a censored version of a fractionally integrated Gaussian ARMA model, which may include seasonal components and/or additional regression variables. Parameter estimation for such a model using standard techniques is typically infeasible, s