Continuous-time modelling of irregularly spaced panel data using a cubic spline model

Statistica Neerlandica

Volumn 62, Issue 1, 2008, Pages 131-154

  Chow, Sy Miin ^a   Zhang, Guangjian ^b  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b UNIVERSITY OF NOTRE DAME   (United States)

Author keywords

Exact discrete time; Kalman filter; Panel data; Smoothing; State space modelling; Stochastic differential equation

Indexed keywords

EID: 38349070684     PISSN: 00390402     EISSN: 14679574     Source Type: Journal    
DOI: 10.1111/j.1467-9574.2007.00379.x     Document Type: Article

References (42)

1. Anderson, B. D. O. J. B. Moore (1979 Optimal filtering, Prentice Hall, Englewood Cliffs, NJ.
2. Arminger, G. (1986 Linear stochastic differential equation models for panel data with unobserved variables, in : N. Tuma (ed Sociological methodology 1986, Jossey-Bass, San Francisco, CA, 187 212.
3. Arnold, L. (1974 Stochastic differential equations, Wiley, New York.
4. Bergstrom, A. R. (1988 The history of continuous-time econometric models, Econometric Theory 4, 365 383.
5. Bryk, A. S. S. W. Raudenbush (1987 Application of hierarchical linear models to assessing change, Psychological Bulletin 101, 147 158.
6. Bryson, A. E. Y. C. Ho (1969 Applied optimal control, optimization, estimation and control, Blaisdell Publishing Company, Waltham.
7. Caines, P. E. J. Rissanen (1974 Maximum likelihood estimation of parameters, IEEE Transactions on Information Theory IT-20, 102 104.
8. Casella, G. R. L. Berger (2001 Statistical inference, 2nd edn, Duxbury Press, Pacific Grove, CA.
9. Coleman, J. S. (1968 The mathematical study of change, in : H. M. Blalock Jr. A. Blalock (eds Methodology in social research, McGraw-Hill, New York, 428 478.
10. Corti, M. C., J. M. Guralnik, M. E. Salive J. D. Sorkin (1994 Serum albumin level and physical disability as predictors of mortality in older persons, Journal of the American Medical Association 272, 1036 1042.
11. Davidson, R. J. (1998 Affective style and affective disorders: perspectives from affective neuroscience, Cognition and Emotion 12, 307 330.
12. Doornik, J. A. (1998 Object-oriented matrix programming using Ox 2.0, Timberlake Consultants Press, London.
13. Durbin, J. S. J. Koopman (2001 Time series analysis by state-space methods, Oxford University Press, New York.
14. Efron, B. R. Tibshirani (1993 An introduction to the bootstrap, Chapman & Hall, New York.
15. Fleming, T. R. D. P. Harrington (1991 Counting processes and survival analysis, Wiley, New York.
16. Hamerle, A., W. Nagl H. Singer (1990 Problems with the estimation of stochastic differential equation using structural equations models, Journal of Mathematical Sociology 16, 201 220.
17. Harvey, A. C. (1989 Forecasting, structural time series models and the Kalman filter, Princeton University Press, Princeton, NJ.
18. Harvey, A. C. (2001 Forecasting, structural time series models and the Kalman filter, Cambridge University Press, Cambridge.
19. Hawkley, L. C., M. H. Burleson, G. G. Berntson J. T. Cacioppo (2003 Stress in everyday life: cardiovascular activity, psychosocial context and health behaviors, Journal of Personality and Social Psychology: Personality and Individual Differences 85, 105 120.
20. Higham, D. J. (2001 An algorithmic introduction to numerical simulation of stochastic differential equations, SIAM Review 43, 525 546.
21. Kohn, R. C. F. Ansley (1987 A new algorithm for spline smoothing based on smoothing a stochastic process, SIAM Journal of Scientific and Statistical Computing 8, 33 48.
22. Kohn, R. C. F. Ansley (1989 A fast algorithm for signal extraction, influence and cross-validation, Biometrika 76, 65 79.
23. Koopman, S. J. (1993 Disturbance smoother for state-space models, Biometrika 80, 117 126.
24. Koopman, S. J., N. Shephard J. A. Doornik (1999 Statistical algorithms for models in state space using ssfpack 2.2, Econometrics Journal 2, 113 166.
25. Larsen, R. J. T. Ketelaar (1991 Personality and susceptibility to positive and negative emotional states, Journal of Personality ans Social Psychology 61, 132 140.
26. Laurenceau, J. P., L. F. Barrett P. R. Pietromonaco (1998 The importance of self-disclosure partner discplore, and perceived partner responsiveness in interpersonal exchanges, Journal of Personality and Social Psychology 74, 1238 1251.
27. Lindenberger, U. T. V. Oertzen (2006 Variability in cognitive aging: from taxonomy to theory, in : F. I. M. Craik E. Bialystok (eds Lifespan cognition: mechanisms of change, Oxford University Press, Oxford, 297-314.
28. Little, R. J. A. D. B. Rubin (1987 Statistical analysis with missing data, Wiley, New York.
29. Murtaugh, P. A., E. R. Dickson, G. M. Van dam, M. Malinchoc, P. M. Grambsch, A. L. Langwirthy C. H. Gips (1994 Primary biliary cirrhosis: prediction of short-term survival based on repeated patient visits, Hepatology 20, 126 134.
30. Newell, K. M., Y. T. Liu G. Meyer-Kress (2001 Time scales in motor learning and development, Psychological Review 108, 57 82.
31. Ong, A. D., J. L. Horn D. A. Walsh (2007 Stepping into the light: modeling the intraindividual dimensions of hedonic and eudaemonic well-being, in : A. D. Ong M. H. M. Van Dulmen (eds Oxford Handbook of Methods in Positive Psychology, Oxford University Press, New York, 12 25.
32. Oud, J. H. L. R. A. R. G. Jansen (2000 Continuous time state space modeling of panel data by means of SEM, Psychometrika 65, 199 215.
33. Oud, J. H. L. (2002 Continuous time modeling of the cross-lagged panel design, Kwantitatieve Methoden 69, 1 26.
34. Sbarra, D. A. (2006 Predicting the onset of emotional recovery following nonmarital relationship dissolution: survival analyses of sadness and anger, Personality and Social Psychology Bulletin 32, 298 312.
35. Schweppe, F. (1965 Evaluation of likelihood functions for gaussian signals, IEEE Transactions on Information Theory 11, 61 70.
36. Sorenson, A. B. (1978 Mathematical models in sociology, American Review of Sociology 4, 345 371.
37. Stoffer, D. S. K. D. Wall (1991 Bootstraping state-space models: Gaussian maximum likelihood estimation and the Kalman filter, Journal of the American Statistical Association 86, 1024 1033.
38. Thompson, A. N. Bolger (1999 Emotional transmission in couples under stress, Journal of Marriage & the Family 61, 38 48.
39. Tsay, R. S. (2005 Analysis of financial time series, 2nd edn, Wiley Interscience, New Jersey.
40. Verbeke, G. G. Molenberghs (2000 Linear mixed models for longitudinal data, Springer-Verlag, New York.
41. Wahba, G. (1978) Improper priors, spline smoothing and the problem of guarding against model errors in regression, Journal of the Royal Statistical Society, Series B (Methodological) 40, 364 372.
42. Wecker, W. E. C. F. Ansley (1983 The signal extraction approach to nonlinear regression and spline smoothing, Journal of the American Statistical Association 78, 81 89.