4 datasets found

I study a simple, widely applicable approach to handling the initial conditions problem in dynamic, nonlinear unobserved effects models. Rather than attempting to obtain the...

This paper considers finite sample motivated inference methods in dynamic energy demand models, in which case commonly used econometric methods remain asymptotic. We focus on...

This paper establishes stylized facts on comovements and heterogeneity of individual euro area countries' output and price developments in the past two decades. For this...

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...