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Faculty of Economics

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Harvey, A. C., Liao, Y.

Dynamic Tobit models


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  


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