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文章基本信息

  • 标题:Heteroskedastic Dynamic Factor Models: A Monte Carlo Study
  • 本地全文:下载
  • 作者:Gijsbert Suren ; Guilherme Moura
  • 期刊名称:Economics Bulletin
  • 电子版ISSN:1545-2921
  • 出版年度:2012
  • 卷号:32
  • 期号:4
  • 页码:2884-2898
  • 出版社:Economics Bulletin
  • 摘要:We propose to estimate heteroskedastic dynamic factor models using the Kalman filter, where the state vector is augmented with the heteroskedastic disturbances. Although this model is not conditionally Gaussian, Monte Carlo results show that parameters can be accurately estimated.
  • 关键词:state space models; dynamic factor models; GARCH; Monte Carlo simulations
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