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Accounting for missing values in score-driven time-varying parameter models

Andre Lucas (), Anne Opschoor and Julia Schaumburg

Economics Letters, 2016, vol. 148, issue C, 96-98

Abstract: Two alternative perspectives on dealing with missing data in the context of the score-driven time-varying parameter models of~Creal et al. (2013) and Harvey (2013) lead to precisely the same dynamic transition equations. This ties the score-driven approach theoretically to the Expectation–Maximization framework for dealing with missing values.

Keywords: Generalized autoregressive score models; Missing values; Expectation–Maximization (search for similar items in EconPapers)
JEL-codes: C53 C52 (search for similar items in EconPapers)
Date: 2016
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