We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...

In applied work in macroeconomics and finance, nonoptimal infinite horizon economies are often studied in which the state-space is unbounded. Important examples of such economies are single-sector growth models with production externalities, valued fiat money, monopolistic competition, and/or...

There is an increasing awareness of the potential of nonlinear modeling in regional science, which can partly be explained by the recognition of the limitations of conventional equilibrium models in complex situations and partly by the easy availability and accessibility of sophisticated...