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Keyword: em algorithm;
5 results found.
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Javier Hidalgo and Marcia M Schafgans
This paper addresses inference in large panel data models in the presence of both cross-sectional and temporal dependence of unknown form. We are interested in making inferences without relying on the choice of any smoo...Read more...
20 February 2018
Violetta Dalla and Javier Hidalgo
4 June 2015
This paper is concerned with various issues related to inference in large dynamic panel data models (where both n and T increase without bound) in the presence of, possibly, strong cross-sectional dependence. Our first a...Read more...
1 April 2015
With income distributions it is common to encounter the problem of missing data. When a parametric model is fitted to the data, the problem can be overcome by specifying the marginal distribution of the observed data. Wi...Read more...
Siem Jan Koopman and N.G. Shephard
The score vector for a time series model which fits into the Gaussian state space form can be approximated by numerically differentiating the log-likelihood. If the parameter vector is of length p, this involves the runn...Read more...