Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Year of publication: |
2014
|
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Authors: | Blasques, Francisco ; Koopman, Siem Jan ; Lucas, Andre |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | time-varying parameter models | GAS | score driven models | Markov processes estimation | stationarity | invertibility | consistency | asymptotic normality |
Series: | Tinbergen Institute Discussion Paper ; 14-029/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 779879899 [GVK] hdl:10419/98908 [Handle] RePEc:dgr:uvatin:20140029 [RePEc] |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C12 - Hypothesis Testing |
Source: |
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Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco, (2014)
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Maximum likelihood estimation for generalized autoregressive score models
Blasques, Francisco, (2014)
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