Xu, Wen - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13
Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate … particle filter-based estimator. When the volatility of volatility is high, or when regressors are absent but stochastic …