16-067/IV - Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

• Authors
  Andre Lucas, VU University Amsterdam, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands; Julia Schaumburg, VU University Amsterdam, the Netherlands
• Publication date
  August 29, 2016

• Keywords
  generalized autoregressive score models, missing completely at random, Expectation-Maximization
• JEL
  C52, C53