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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