Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149471
Authors: 
Lucas, Andre
Opschoor, Anne
Schaumburg, Julia
Year of Publication: 
2016
Series/Report no.: 
Tinbergen Institute Discussion Paper 16-067/IV
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.
Subjects: 
generalized autoregressive score models
missing completely at random
Expectation-Maximization
JEL: 
C52
C53
Document Type: 
Working Paper

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