Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2016-08-29
Number: 16-067/IV
Author-Name: Andre Lucas
Author-Workplace-Name: VU University Amsterdam, the Netherlands
Author-Name: Anne Opschoor
Author-Workplace-Name: VU University Amsterdam, the Netherlands
Author-Name: Julia Schaumburg
Author-Workplace-Name: VU University Amsterdam, the Netherlands
Title: Accounting for Missing Values in Score-Driven Time-Varying Parameter Models
Abstract: We show that two alternative perspectives on how to deal with missing data in the context of the score-driven time-varying parameter models of Creal, Koopman, Lucas (2013) and Harvey (2013) lead to precisely the same dynamic transition equations. As score-driven models encompass a wide variety of time-varying parameter models (including generalized autoregressive conditional volatility (GARCH) and duration (ACD) models), the results apply to a wide range of empirically relevant models as applied in economics and statistics.
Classification-JEL: C52, C53
Keywords: generalized autoregressive score models, missing completely at random, Expectation-Maximization
File-Url: https://papers.tinbergen.nl/16067.pdf
File-Format: application/pdf
File-Size: 286705 bytes
Handle: RePEc:tin:wpaper:20160067