Arbeitspapier
A General Framework for Observation Driven Time-Varying Parameter Models
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 encompasses other well-known models such as the generalized autoregressive conditional heteroskedasticity, the autoregressive conditional duration, the autoregressive conditional intensity, and the single source of error models. In addition, the GAS specification provides a wide range of new observation driven models. Examples include non-linear regression models with time-varying parameters, observation driven analogues of unobserved components time series models, multivariate point process models with time-varying parameters and pooling restrictions, new models for time-varying copula functions, and models for time-varying higher order moments. We study the properties of GAS models and provide several non-trivial examples of their application.
- Language
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Englisch
- Bibliographic citation
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Series: Tinbergen Institute Discussion Paper ; No. 08-108/4
- Classification
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Wirtschaft
Econometric and Statistical Methods and Methodology: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
- Subject
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dynamic models
time-varying parameters
non-linearity
exponential family
marked point processes
copulas
Zeitreihenanalyse
Dynamisches Modell
Maximum-Likelihood-Methode
Kopula (Mathematik)
Theorie
- Event
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Geistige Schöpfung
- (who)
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Creal, Drew
Koopman, Siem Jan
Lucas, André
- Event
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Veröffentlichung
- (who)
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Tinbergen Institute
- (where)
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Amsterdam and Rotterdam
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Creal, Drew
- Koopman, Siem Jan
- Lucas, André
- Tinbergen Institute
Time of origin
- 2008
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