SMU SOE Seminar (April 28, 2023): Dynamic Tobit Model

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ABSTRACT In this talk we will discuss the dynamic Tobit model, which can be used to model censored time series. We will start with characterizing its asymptotic behavior. Turns out, the asymptotics has a point of discontinuity (analogue of a unit root for linear autoregression). We will then extend local to unity asymptotics to the non-linear setting of the dynamic Tobit model, motivated by this discontinuity as well as by the application of this model to highly persistent censored time series. We will present a unit root test in the presence of censoring, and we will provide an application of our methods to the Swiss franc / euro exchange rate, during a period when this was subject to an occasionally binding lower bound. Click here to view the CV.
		PRESENTER Anna Bykhovskaya Duke University
		RESEARCH FIELDS Time Series Econometrics Matching and Market Design Networks
		DATE: 28 April 2023 (Friday)
		TIME: 4pm - 5.30pm
		VENUE: Meeting Room 5.1, Level 5 School of Economics Singapore Management University 90 Stamford Road Singapore 178903