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specification with regressors, and the risks are dependent by way of the unobserved heterogeneity, or frailty, components. We show …
Persistent link: https://www.econbiz.de/10005281807
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10005137376