Maximum Likelihood Estimation of Factor Models on Data Sets with Arbitrary Pattern of Missing Data

@article{Babura2010MaximumLE,
  title={Maximum Likelihood Estimation of Factor Models on Data Sets with Arbitrary Pattern of Missing Data},
  author={M. Bańbura and Michele Modugno},
  journal={Econometrics: Econometric & Statistical Methods - General eJournal},
  year={2010}
}
  • M. Bańbura, Michele Modugno
  • Published 2010
  • Computer Science
  • Econometrics: Econometric & Statistical Methods - General eJournal
  • SUMMARY In this paper we modify the expectation maximization algorithm in order to estimate the parameters of the dynamic factor model on a dataset with an arbitrary pattern of missing data. We also extend the model to the case with a serially correlated idiosyncratic component. The framework allows us to handle efficiently and in an automatic manner sets of indicators characterized by different publication delays, frequencies and sample lengths. This can be relevant, for example, for young… CONTINUE READING
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