Surveys in many different research fields rely on sequences of Likert scale questions to assess individuals' general attitudes toward a set of related topics. Most analyses of responses to such a series do not take into account the potential measurement error introduced by the context effect we...

I discuss models which allow the local level model, which rationalised exponentially weighted moving averages, to have a time-varying signal/noise ratio.  I call this a martingale component model.  This makes the rate of discounting of data local.  I show how to handle such models...

I discuss models which allow the local level model, which rationalised exponentially weighted moving averages, to have a time-varying signal/noise ratio. I call this a martingale component model. This makes the rate of discounting of data local. I show how to handle such models effectively using...

We develop a generalized dynamic factor model for panel data with the goal of estimating an unobserved index. While similar models have been developed in the literature of dynamic factor analysis, our contribution is threefold. First, contrary to simple dynamic factor analysis where multiple...

Surveys in many different research fields rely on sequences of Likert scale questions to assess individuals' general attitudes toward a set of related topics. Most analyses of responses to such a series do not take into account the potential measurement error introduced by the context effect we...