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Gijsbert Suren and Guilherme Moura
''Heteroskedastic Dynamic Factor Models: A Monte Carlo Study''
( 2012, Vol. 32 No.4 )
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.
Keywords: state space models, dynamic factor models, GARCH, Monte Carlo simulations
JEL: C1 - Econometric and Statistical Methods: General
C5 - Econometric Modeling: General
Manuscript Received : Apr 03 2012 Manuscript Accepted : Oct 22 2012

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