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- W142768318 abstract "Maximum likelihood estimation of dynamic latent variable models requires to solve integrals that are not analytically tractable. Numerical approximations represent a possible solution to this problem. We propose to use the Adaptive Gaussian-Hermite (AGH) numerical quadrature approximation for a class of dynamic latent variable models for time-series and panel data. These models are based on continuous time-varying latent variables which follow an autoregressive process of order 1, AR(1). Two examples of such models are the stochastic volatility models for the analysis of financial time-series and the limited dependent variable models for the analysis of panel data. A comparison between the performance of AGH methods and alternative approximation methods proposed in the literatureis carried out by simulation. Examples on real data are also used to illustrate the proposed approach." @default.
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- W142768318 date "2013-10-29" @default.
- W142768318 modified "2023-09-27" @default.
- W142768318 title "Adaptive quadrature for likelihood inference on dynamic latent variable models for time-series and panel data" @default.
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