Dynamic Censored Regression and the Open Market Desk Reaction Function
动态删失回归与公开市场操作台反应函数
The censored regression model and the Tobit model are standard tools in econometrics. This paper provides a formal asymptotic theory for dynamic time series censored regression when lags of the dependent variable have been included among the regressors. The central analytical challenge is to prove that the dynamic censored regression model satisfies stationarity and weak dependence properties if a condition on the lag polynomial holds. We show the formal asymptotic…