局部单位动态 Tobit 模型
The Local to Unity Dynamic Tobit Model
AI总结：
针对受删失或偶尔紧约束影响的高持续时间序列，本文提出根局部于1的动态 Tobit 模型，证明 OLS 一致性并构造删失下的单位根检验。
摘要：
本文研究具有高度持续性且受到删失或偶尔紧约束等非线性形式影响的时间序列，这类序列在宏观经济学中经常出现。针对此类序列，一个易于处理的候选模型是根局部于1的动态 Tobit 模型。我们证明，该模型生成的过程弱收敛于一个非标准极限过程，该过程被约束（受规制）为正值。令人惊讶的是，尽管存在删失，模型参数的 OLS 估计量仍具有一致性。我们表明，这使得可以基于 OLS 对过程的整体持续性（以自回归系数之和衡量）进行推断，并可在存在删失的情况下检验单位根原假设。模拟结果表明，当数据由具有单位根的动态 Tobit 模型生成时，传统 ADF 检验会严重过度拒绝，而我们提出的检验具有正确的实际显著性水平。我们还将所提方法应用于检验瑞士法郎/欧元汇率在受到偶尔紧下限约束时期的单位根。
英文摘要：
This paper considers highly persistent time series that are subject to nonlinearities in the form of censoring or an occasionally binding constraint, such as are regularly encountered in macroeconomics. A tractable candidate model for such series is the dynamic Tobit with a root local to unity. We show that this model generates a process that converges weakly to a non-standard limiting process, that is constrained (regulated) to be positive. Surprisingly, despite the presence of censoring, the OLS estimators of the model parameters are consistent. We show that this allows OLS-based inferences to be drawn on the overall persistence of the process (as measured by the sum of the autoregressive coefficients), and for the null of a unit root to be tested in the presence of censoring. Our simulations illustrate that the conventional ADF test substantially over-rejects when the data is generated by a dynamic Tobit with a unit root, whereas our proposed test is correctly sized. We provide an application of our methods to testing for a unit root in the Swiss franc / euro exchange rate, during a period when this was subject to an occasionally binding lower bound.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
