A General Framework for Observation Driven Time-Varying Parameter Models
Year of publication: |
2009-03
|
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Authors: | Creal, Drew ; Koopman, Siem Jan ; Lucas, Andre |
Institutions: | Institute of Economic Research, Hitotsubashi University |
Subject: | dynamic models | time-varying parameters | non-linearity | exponential family | marked point processes | copulas |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C32 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: |
-
A General Framework for Observation Driven Time-Varying Parameter Models
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A General Framework for Observation Driven Time-Varying Parameter Models
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