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

A. Lucas; A. Opschoor; J. Schaumburg

doi:10.1016/j.econlet.2016.09.026

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

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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 language	English
Pages (from-to)	96-98
Journal	Economics Letters
Volume	148
DOIs	https://doi.org/10.1016/j.econlet.2016.09.026
Publication status	Published - 2016

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10.1016/j.econlet.2016.09.026

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title = "Accounting for Missing Values in Score-Driven Time-Varying Parameter Models",

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.",

author = "A. Lucas and A. Opschoor and J. Schaumburg",

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doi = "10.1016/j.econlet.2016.09.026",

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journal = "Economics Letters",

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AU - Opschoor, A.

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AB - 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.

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DO - 10.1016/j.econlet.2016.09.026

M3 - Article

SN - 0165-1765

VL - 148

SP - 96

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JO - Economics Letters

JF - Economics Letters

ER -

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

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