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Adaptive quadrature for likelihood inference on dynamic latent variable models for time series and panel data

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Figure

Figure 1: Performance of the two approximations for ρ = 0.5 (first row) and ρ = 0.95 (secondrow).
Figure 2: Log-daily difference of the pound-dollar exchange rate from October 1st, 1981 toJune 28th, 1985.
Table 1: Estimated mean and rmse (in brackets) for the LDV model parameters underAGH GH and for T = 5, n = 500; results based on 500 replications.
Table 2: Estimated mean and rmse (in brackets) for the LDV model parameters under GH andAGH, T = 10, n = 500; results based on 500 replications.
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