Accounting for missing values in score-driven time-varying parameter models
André Lucas, Anne Opschoor, Julia Schaumburg
| Year of publication: |
November 2016
|
|---|---|
| Authors: | Lucas, André ; Opschoor, Anne ; Schaumburg, Julia |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 148.2016, p. 96-98
|
| Subject: | Generalized autoregressive score models | Missing values | Expectation-Maximization |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2016.09.026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011619937