Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models

DOI10.1016/0304-4076(83)90066-0zbMATH Open0534.62083OpenAlexW2072041292MaRDI QIDQ790575FDOQ790575

Authors: Mark W. Watson, Robert F. Engle 

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(83)90066-0

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zbMATH Keywords

Kalman filterEM algorithmderivative-free methodmethod of scoringestimation of dynamic unobserved component modelsvarying coefficient regression models

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Sequential estimation (62L12)

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Cited In (53)

• Time series factor models
• The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Consistent factor estimation in dynamic factor models with structural instability
• A wavelet approach for factor-augmented forecasting
• Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm
• Modeling movements in individual consumption: a time-series analysis of grouped data
• Estimation of optimal individualized treatment rules using a covariate-specific treatment effect curve with high-dimensional covariates
• Maximum likelihood estimation of the dynamic shock-error model
• Dual time-frequency domain system identification
• Dynamic structural systems under indirect observation: Identifiability and estimation aspects from a system theoretic perspective
• Approximate state space modelling of unobserved fractional components
• Analytic standard errors for exploratory process factor analysis
• VARs, common factors and the empirical validation of equilibrium business cycle models
• Analysis of time series subject to changes in regime
• The kriged Kalman filter. (With discussion)
• Online prediction of Berlin single-family house prices
• A full-factor multivariate GARCH model
• A spectral EM algorithm for dynamic factor models
• Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
• Analytical uses of Kalman filtering in econometrics — A survey
• Extensions of estimation methods using the EM algorithm
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• Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
• Improving GDP measurement: a measurement-error perspective
• Nonstationary dynamic factor analysis
• Dynamic linear models with Markov-switching
• A standard error for the estimated state vector of a state-space model
• SEM modeling with singular moment matrices. I: ML-estimation of time series
• Finite mixture modeling of Gaussian regression time series with application to dendrochronology
• SEM modeling with singular moment matrices. III: GLS estimation
• The co-integrated vector autoregression with errors-in-variables
• Semiparametric estimation of latent variable asset pricing models
• A novel algorithm for dynamic factor analysis
• Post-'87 crash fears in the S\&P 500 futures option market
• GARCH-type factor model
• Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
• Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
• State space modeling of time series: A review essay
• Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method
• Estimation of vector error correction models with mixed-frequency data
• Maximum likelihood estimation for dynamic factor models with missing data
• Estimation of common factors under cross-sectional and temporal aggregation constraints
• An algorithm for the exact Fisher information matrix of vector ARMAX time series
• Mixed-effects state-space models for analysis of longitudinal dynamic systems
• EM-based identification of continuous-time ARMA models from irregularly sampled data
• Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
• Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
• Blind signal separation of mixtures of chaotic processes: a comparison between independent component analysis and state space modeling
• CONTINUOUS-TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS
• A nonlinear time series approach to modelling asymmetry in stock market indexes
• Towards efficient maximum likelihood estimation of LPV-SS models
• Identification of causal factor models of stationary time series

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