Showing 1 - 10 of 12
We investigate the information theoretic optimality properties of the score function of the predictive likelihood as a device to update parameters in observation driven time-varying parameter models. The results provide a new theoretical justification for the class of generalized autoregressive...
Persistent link: https://www.econbiz.de/10010340740
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10010364739
We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new and existing observation driven time series models....
Persistent link: https://www.econbiz.de/10010250505
We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...
Persistent link: https://www.econbiz.de/10011401308
We develop optimal formulations for nonlinear autoregressive models by representing them as linear autoregressive models with time-varying temporal dependence coefficients. We propose a parameter updating scheme based on the score of the predictive likelihood function at each time point. The...
Persistent link: https://www.econbiz.de/10010390075
We consider an observation-driven location model where the unobserved location variable is modeled as a random walk process and where the error variable is from a mixture of normal distributions. The mixed normal distribution can approximate many continuous error distributions accurately. We...
Persistent link: https://www.econbiz.de/10012795401
Locally explosive behavior is observed in many economic and financial time series when bubbles are formed. We introduce a time-varying parameter model that is capable of describing this behavior in time series data. Our proposed model can be used to predict the emergence, existence and burst of...
Persistent link: https://www.econbiz.de/10011928329
We argue that existing methods for the treatment of missing observations in observation-driven models lead to inconsistent inference. We provide a formal proof of this inconsistency for a Gaussian model with time-varying mean. A Monte Carlo simulation study supports this theoretical result and...
Persistent link: https://www.econbiz.de/10011794421
In finance, durations between successive transactions are usually modelled by the autoregressive conditional duration model based on a continuous distribution omitting frequent zero values. Zero durations can be caused by either split transactions or independent transactions. We propose a...
Persistent link: https://www.econbiz.de/10011954223
We analyze the role of industrial and non-industrial production sectors in the US economy by adopting a novel multilevel factor model. The proposed model is suitable for high-dimensional panels of economic time series and allows for interdependence structures across multiple sectors. The...
Persistent link: https://www.econbiz.de/10014249846