Heteroskedastic Dynamic Factor Models: A Monte Carlo Study

Gijsbert Suren () and Guilherme Moura ()
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Gijsbert Suren: VU University, Amsterdam

Economics Bulletin, 2012, vol. 32, issue 4, 2884-2898

Abstract: 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.

Keywords: state space models; dynamic factor models; GARCH; Monte Carlo simulations (search for similar items in EconPapers)
JEL-codes: C1 C5 (search for similar items in EconPapers)
Date: 2012-10-22
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