Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

Two alternative perspectives on dealing with missing data in the context of the score-driven time-varying parameter models of Creal et al. (2013) and Harvey (2013) lead to precisely the same dynamic transition equations. This ties the score-driven approach theoretically to the Expectation–Maximization framework for dealing with missing values.
Original languageEnglish
Pages (from-to)96-98
JournalEconomics Letters
Volume148
DOIs
Publication statusPublished - 2016

Fingerprint

Dive into the research topics of 'Accounting for Missing Values in Score-Driven Time-Varying Parameter Models'. Together they form a unique fingerprint.

Cite this