Heteroskedastic Dynamic Factor Models: A Monte Carlo Study

We propose to estimate heteroskedastic dynamic factor models using the Kalman filter, where the state vector is augmented with the heteroskedastic disturbances. Although this model is not conditionally Gaussian, Monte Carlo results show that parameters can be accurately estimated.

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Year of publication:	2012
Authors:	Suren, Gijsbert ; Moura, Guilherme
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 32.2012, 4, p. 2884-2898
Publisher:	AccessEcon
Subject:	state space models \| dynamic factor models \| GARCH \| Monte Carlo simulations

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Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011278767