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

Tommaso Proietti

Statistics & Probability Letters, 2008, vol. 78, issue 3, 257-264

Abstract: 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.

Keywords: Kalman; filter; Smoothing; Influence; Cross-validation (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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