High-dimensional conditionally Gaussian state space models with missing data
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Publication:6175545
DOI10.1016/J.JECONOM.2023.05.005arXiv2302.03172MaRDI QIDQ6175545FDOQ6175545
Authors: Joshua C. C. Chan, Aubrey Poon, Dan Zhu 
Publication date: 18 August 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Abstract: We develop an efficient sampling approach for handling complex missing data patterns and a large number of missing observations in conditionally Gaussian state space models. Two important examples are dynamic factor models with unbalanced datasets and large Bayesian VARs with variables in multiple frequencies. A key insight underlying the proposed approach is that the joint distribution of the missing data conditional on the observed data is Gaussian. Moreover, the inverse covariance or precision matrix of this conditional distribution is sparse, and this special structure can be exploited to substantially speed up computations. We illustrate the methodology using two empirical applications. The first application combines quarterly, monthly and weekly data using a large Bayesian VAR to produce weekly GDP estimates. In the second application, we extract latent factors from unbalanced datasets involving over a hundred monthly variables via a dynamic factor model with stochastic volatility.
Full work available at URL: https://arxiv.org/abs/2302.03172
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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Cited In (4)
- Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP
- Precision-based sampling for state space models that have no measurement error
- Advances in nowcasting economic activity: the role of heterogeneous dynamics and fat tails
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