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Dynamic factor analysis in the presence of missing data
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2011
This paper concerns estimating parameters in a high-dimensional dynamic factormodel by the method of maximum likelihood. To accommodate missing data in theanalysis, we propose a new model representation for the dynamic factor model. Itallows the Kalman filter and related smoothing methods to...
Persistent link: https://www.econbiz.de/10011377572
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The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
Bun, Maurice J. G.; Kiviet, J. F. - 2002
Persistent link: https://www.econbiz.de/10001718452
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The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice J. G.; Windmeijer, Frank - 2009
Persistent link: https://www.econbiz.de/10003913186
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Judging contending estimators by simulation : tournaments in dynamic panel data models
Kiviet, J. F. - 2005
Persistent link: https://www.econbiz.de/10003233535
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The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
Bun, Maurice J. G.; Kiviet, J. F. - 2002
The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel …
Persistent link: https://www.econbiz.de/10011327521
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Judging contending estimators by simulation : tournaments in dynamic panel data models
Kiviet, J. F. - 2005
dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We …
Persistent link: https://www.econbiz.de/10011348362
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The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice J. G.; Windmeijer, Frank - 2009
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators. …
Persistent link: https://www.econbiz.de/10011379149
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Score-driven time-varying parameter models with splinebased densities
Brummelen, Janneke van; Gorgi, Paolo; Koopman, Siem Jan - 2025
inflation series and the scale model for volatility filtering of the full panel of daily stock returns from the S&P 500 index …
Persistent link: https://www.econbiz.de/10015198647
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On an estimation method for an alternative fractionally cointegrated model
Carlini, Federico; Łasak, Katarzyna - 2014
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10010348412
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Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2016
Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical applications. As a result, the asymptotic theory of maximum likelihood and quasi-maximum likelihood estimators may be compromised. We derive considerably weaker conditions that can be used...
Persistent link: https://www.econbiz.de/10011556144