We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...

The Israeli-Palestinian conflict constitutes a prominent example of a long-lasting political conflict which has major consequences for the livelihoods of the people on both sides. The agricultural sectors of the Palestinian and Israeli economies are tightly connected. However, various security...

We develop optimal formulations for nonlinear autoregressive models by representing them as linear autoregressive models with time-varying temporal dependence coefficients. We propose a parameter updating scheme based on the score of the predictive likelihood function at each time point. The...