Accounting for missing values in score-driven time-varying parameter models

DOI10.1016/j.econlet.2016.09.026zbMath1400.62191OpenAlexW2515986741MaRDI QIDQ1672734

Anne Opschoor, André Lucas, Julia Schaumburg

Publication date: 11 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.09.026

zbMATH Keywords

expectation-maximizationmissing valuesgeneralized autoregressive score models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Missing observations in observation-driven time series models

Cites Work

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• Information-theoretic optimality of observation-driven time series models for continuous responses

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