Questions tagged [parameter-identification]

I have a Latent variable model like this White nodes are observed and gray nodes are latent. $\theta = \{\theta_U, \theta_X, \theta_M, \theta_{MY}, \theta_{UY}\}$ are the parameters of this model that we treat as random variables and define a prior…

I wish to fit the innovations resulting from a GARCH (1,1) process to either a student-t or an NIG distribution. For stability, I had to scale my data before applying GARCH. How will this affect the resulting innovations? I have taken a look at…

Lets compare three panel most basic models: pooled, random effects, fixed effects. I observe common belief, that the fixed effect model estimation is "less biased", than in the other models. The only cost of this model is said to be less…