Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2008
We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS …) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a … unified and consistent framework for introducing time-varying parameters in a wide class of non-linear models. The GAS model …