Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters
نویسندگان
چکیده
منابع مشابه
Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters
Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate likelihood obtained via Rao-Blackw...
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ژورنال
عنوان ژورنال: Econometrics
سال: 2016
ISSN: 2225-1146
DOI: 10.3390/econometrics4040039