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

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Missing values
Time-varying parameter model
Missing data
Transition dynamics

Cite this

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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",
year = "2016",
doi = "10.1016/j.econlet.2016.09.026",
language = "English",
volume = "148",
pages = "96--98",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",

}

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models. / Lucas, A.; Opschoor, A.; Schaumburg, J.

In: Economics Letters, Vol. 148, 2016, p. 96-98.

Research output: Contribution to JournalArticleAcademicpeer-review

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AU - Opschoor, A.

AU - Schaumburg, J.

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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.

U2 - 10.1016/j.econlet.2016.09.026

DO - 10.1016/j.econlet.2016.09.026

M3 - Article

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JO - Economics Letters

JF - Economics Letters

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