25-026/III - Observation-Driven Hierarchical Density Models for Missing Data Imputation

• Authors
  Yonas Kanna, ING Bank; Andre Lucas, Vrije Universiteit Amsterdam
• Publication date
  April 11, 2025

• Keywords
  missing value imputation, dynamic hierarchical factor models, forecasting, imputation uncertainty, high-dimensional panel data
• JEL
  C32, C33, C58, G17