skip to content
CWPE Cover

Harvey, A., Liao, Y.

Dynamic Tobit models

CWPE1913

Abstract: Score-driven models provide a solution to the problem of modelling time series when the observations are subject to censoring and location and/or scale may change over time. The method applies to generalized-t and EGB2 distributions, as well as to the normal distribution. A set of Monte Carlo experiments show that the score-driven model provides good forecasts even when the true model is parameterdriven. The viability of the new models is illustrated by fitting them to data on Chinese stock returns.

Keywords: Censored distributions, dynamic conditional score model, EGARCH models, logistic distribution, generalized t distribution

JEL Codes: C22 C24

Author links: Andrew Harvey  

PDF: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1913.pdf

Open Access Link: https://doi.org/10.17863/CAM.37454