文章基本信息

标题：Heteroskedastic Dynamic Factor Models: A Monte Carlo Study
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作者：Gijsbert Suren ; Guilherme Moura
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2012
卷号：32
期号：4
页码：2884-2898
出版社：Economics Bulletin
摘要：We propose to estimate heteroskedastic dynamic factor models using the Kalman filter, where the state vector is augmented with the heteroskedastic disturbances. Although this model is not conditionally Gaussian, Monte Carlo results show that parameters can be accurately estimated.
关键词：state space models; dynamic factor models; GARCH; Monte Carlo simulations