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- W1844167872 abstract "We derive the likelihood function and score of factor models with dynamic heteroskedasticity, and the KUHN-TUCKER conditions defining the inequality restricted maximum likelihood estimators that gua- rantee a positive definite covariance matrix. We present three methods to compute the likelihood function, its gradient and factor scores, which are numerically efficient and reliable, and statistically sound. We show that the incidence of zero idiosyncratic variance estimates (HEYWOOD cases) depends on the correlation of a variable with the rest." @default.
- W1844167872 created "2016-06-24" @default.
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- W1844167872 date "2000-01-01" @default.
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- W1844167872 title "The Likehood Function of Conditionally Heteroskedastic Factor Models" @default.
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