Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Year of publication: |
2014-06-20
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Authors: | Blasques, Francisco ; Koopman, Siem Jan ; Lucas, André |
Institutions: | Tinbergen Instituut |
Subject: | Observation-driven models | stochastic recurrence equations | contraction conditions | invertibility | stationarity | ergodicity | generalized autoregressive score models |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 14-074/III |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C22 - Time-Series Models |
Source: |
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Blasques, Francisco, (2014)
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Blasques, Francisco, (2014)
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Maximum Likelihood Estimation for Generalized Autoregressive Score Models
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