Anna Bykhovskaya, James A. Duffy
arXiv 13 Dec 2025 · Econometrics
arXiv:2512.12110 · PDF · DOI · OpenAlex · Extracted main text
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 absolute deviations (CLAD) estimators are consistent, extending results from the stationary case where ordinary least squares (OLS) is inconsistent. The asymptotic distributions of MLE and CLAD are derived; for the short-run parameters they are shown to be Gaussian, yielding standard normal t-statistics. In contrast, although OLS remains consistent under LUR, its t-statistics are not standard normal. These results enable reliable model selection via sequential t-tests based on ML and CLAD, paralleling the linear autoregressive case. Applications to financial and epidemiological time series illustrate their practical relevance.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bykhovskaya, A (2023) Time series approach to the evolution of networks: prediction and estimation self | 1.000 | 7 | 3 | 100% |
| 2 | de Jong, R. and Herrera, A. M (2011) Dynamic censored regression and the Open Market Desk reaction function | 1.000 | 7 | 3 | 100% |
| 3 | Powell, James L (1984) Least absolute deviations estimation for the censored regression model | 1.000 | 6 | 3 | 100% |
| 4 | Herce, Miguel A (1996) Asymptotic theory of LAD estimation in a unit root process with finite variance errors | 0.737 | 3 | 3 | 67% |
| 5 | Bykhovskaya, Anna and Duffy, James A (2024) The local to unity dynamic Tobit model self | 0.663 | 24 | 7 | 29% |
| 6 | Olsen, Randall J (1978) Note on the uniqueness of the maximum likelihood estimator for the Tobit model | 0.511 | 2 | 2 | 50% |
| 7 | Xiao, Zhijie (2009) Quantile cointegrating regression | 0.511 | 2 | 1 | 100% |
| 8 | Ramey, Valerie A and Zubairy, Sarah (2018) Government spending multipliers in good times and in bad: evidence from US historical data | 0.511 | 2 | 1 | 100% |
| 9 | Aruoba, S. B. and Mlikota, M. and Schorfheide, F. and Villalvazo, S (2022) SVARs with occasionally-binding constraints | 0.405 | 1 | 1 | 100% |
| 10 | Balke, Nathan S and Fomby, Thomas B (1997) Threshold cointegration | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 52 scored citations.