Missing observations in stochastic difference equation with arma errors
Missing observations in stochastic difference equation with arma errors
| dc.creator | Pereira, Pedro L. Valls | |
| dc.date | 1987-04-01 | |
| dc.date.accessioned | 2022-11-03T21:18:49Z | |
| dc.date.available | 2022-11-03T21:18:49Z | |
| dc.identifier | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3102 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/5047917 | |
| dc.description | This paper considers the estimation of stochastic difference equation with missing observations. Time series data is available at different levels of aggregations. The most common is the annual-quarterly model, where for the first part of the time series data, some of the endogenous and/or exogenous variables are available on an annual basis and the second part on a quarterly basis. A method of estimation, based on the Kalman Filter, enables us to obtain the exact maximum likelihood estimates of the model. | en-US |
| dc.description | Este artigo apresenta um método de estimação de equações de diferença estocástica com observações faltando. Dados de séries temporais podem estar disponíveis em diferentes níveis de agregação. O caso mais comum é o de modelos com dados anuais e trimestrais. Por exemplo, pode-se ter um modelo onde parte do período amostral, algumas das variáveis exógenas e/ou endógenas, são observadas anualmente e trimestralmente. Um método de estimação que é baseado no Filtro de Kalman, permite obter estimadores de máxima verossimilhança exatos para estes modelos. | pt-BR |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Sociedade Brasileira de Econometria | en-US |
| dc.relation | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3102/1992 | |
| dc.source | Brazilian Review of Econometrics; Vol. 7 No. 1 (1987); 5-34 | en-US |
| dc.source | Brazilian Review of Econometrics; v. 7 n. 1 (1987); 5-34 | pt-BR |
| dc.source | 1980-2447 | |
| dc.subject | Missing observations | en-US |
| dc.subject | Temporal Aggregation | en-US |
| dc.subject | Stochastic Difference Equation | en-US |
| dc.subject | ARMA Errors | en-US |
| dc.subject | Kalman Filter. | en-US |
| dc.subject | Missing observations | pt-BR |
| dc.subject | Temporal Aggregation | pt-BR |
| dc.subject | Stochastic Difference Equation | pt-BR |
| dc.subject | ARMA Errors | pt-BR |
| dc.subject | Kalman Filter. | pt-BR |
| dc.title | Missing observations in stochastic difference equation with arma errors | en-US |
| dc.title | Missing observations in stochastic difference equation with arma errors | pt-BR |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |