Lucas, A., Opschoor, A. and Schaumburg, J. (2016). Accounting for Missing Values in Score-Driven Time-Varying Parameter Models Economics Letters, 148:96--98.
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Affiliated authors
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Publication year2016
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JournalEconomics Letters
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.