Mixing properties of the dynamic Tobit model with mixing errors

摘要

Mixing properties for the dynamic Tobit model are shown for the case of mixing innovations. We show alpha or beta-mixing given mixing assumptions on the errors. Additionally, we show that the results here hold for a more general class of nonlinear time series for which the dynamic Tobit model is a special case. (C) 2017 Elsevier B.V. All rights reserved.