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Nearly unbiased estimation in dynamic panel data models with exogenous variables

Carree, Martin Anthony - 2001

Persistent link: https://www.econbiz.de/10001646814

Nearly unbiased estimation in dynamic panel data models

Carree, Martin Anthony - 2001

Persistent link: https://www.econbiz.de/10001646827

Tracking growth and the business cycle : a stochastic common cycle model for the euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

Persistent link: https://www.econbiz.de/10001792789

Vulnerability in a stochastic dynamic model

Elbers, Chris; Gunning, Jan Willem - 2003

Persistent link: https://www.econbiz.de/10001792791

An order-invariant score-driven dynamic factor model

Artemova, Mariia - 2023

This paper introduces a novel score-driven dynamic factor model designed for filtering cross-sectional co-movements in panels of time series. The model is formulated using elliptical distribution for the noise terms, thus allowing the update of the time-varying parameter to be potentially...

Persistent link: https://www.econbiz.de/10014390430