Adaptive quadrature for likelihood inference on dynamic latent variable models for time-series and panel data
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References listed on IDEAS
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More about this item
KeywordsAR(1); categorical longitudinal data; Gaussian-Hermite quadrature; limited dependent variable models; stochastic volatility model;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-09 (All new papers)
- NEP-ECM-2013-11-09 (Econometrics)
- NEP-ETS-2013-11-09 (Econometric Time Series)
- NEP-ORE-2013-11-09 (Operations Research)
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