Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches

This note shows the equivalence of the dummy variable approach and the skipping approach for the treatment of missing observations in state space models. The equivalence holds when the coefficient of the dummy variable is considered as a diffuse rather than a fixed effect. The equivalence concerns both likelihood inference and smoothed inferences.

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Year of publication:	2008
Authors:	Proietti, Tommaso
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 3, p. 257-264
Publisher:	Elsevier
Subject:	Kalman filter Smoothing Influence Cross-validation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223490