Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
Year of publication: |
2016
|
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Authors: | Blasques, Francisco ; Gorgi, Paolo ; Koopman, Siem Jan ; Wintenberger, Olivier |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | consistency | invertibility | maximum likelihood estimation | observation-driven models | stochastic recurrence equations |
Series: | Tinbergen Institute Discussion Paper ; 16-082/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 871954192 [GVK] hdl:10419/149486 [Handle] RePEc:tin:wpaper:20160082 [RePEc] |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; c58 |
Source: |
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Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
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Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
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