Arbeitspapier

Consistency, distributional convergence, and optimality of score-driven filters

We study the in-fill asymptotics of score-driven time series models. For general forms of model mis-specification, we show that score-driven filters are consistent for the Kullback-Leibler (KL) optimal time-varying parameter path, which minimizes the pointwise KL divergence between the statistical model and the unknown dynamic data generating process. This directly implies that for a correctly specified predictive conditional density, score-driven filters consistently estimate the time-varying parameter path even if the model is mis-specified in other respects. We also obtain distributional convergence results for the filtering errors and derive the filter that minimizes the asymptotic filter error variance. Score-driven filters turn out to be optimal under correct specification of the predictive conditional density. The results considerably generalize earlier findings on the continuous-time consistency of volatility filters under mis-specification: they apply to biased filters, use weaker assumptions, allow for more general forms of mis-specification, and consider general time-varying parameters in non-linear time series models beyond the volatility case. Several examples are used to illustrate the theory, including time-varying tail shape models, dynamic copulas, and time-varying regression models.

Sprache
Englisch

Erschienen in
Series: Tinbergen Institute Discussion Paper ; No. TI 2023-051/III

Klassifikation
Wirtschaft
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
Thema
score-driven models
information theoretic optimality
Kullback-Leibler divergence
pseudo true time-varying parameters
in-fill asymptotics

Ereignis
Geistige Schöpfung
(wer)
Beutner, Eric A.
Lin, Yicong
Lucas, André
Ereignis
Veröffentlichung
(wer)
Tinbergen Institute
(wo)
Amsterdam and Rotterdam
(wann)
2023

Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Beutner, Eric A.
  • Lin, Yicong
  • Lucas, André
  • Tinbergen Institute

Entstanden

  • 2023

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