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

C-Tier

Journal: Economics Letters

Year: 2016

Volume: 148

Issue: C

Pages: 96-98

Authors (3)

Lucas, André (Vrije Universiteit Amsterdam) Opschoor, Anne (not in RePEc) Schaumburg, Julia (Vrije Universiteit Amsterdam)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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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.

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

Authors (3)

Abstract

Technical Details