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
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Englisch
- Erschienen in
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Series: Tinbergen Institute Discussion Paper ; No. TI 2023-051/III
- Klassifikation
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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
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score-driven models
information theoretic optimality
Kullback-Leibler divergence
pseudo true time-varying parameters
in-fill asymptotics
- Ereignis
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Geistige Schöpfung
- (wer)
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Beutner, Eric A.
Lin, Yicong
Lucas, André
- Ereignis
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Veröffentlichung
- (wer)
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Tinbergen Institute
- (wo)
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Amsterdam and Rotterdam
- (wann)
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2023
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Beutner, Eric A.
- Lin, Yicong
- Lucas, André
- Tinbergen Institute
Entstanden
- 2023