Arbeitspapier
Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the filter can be substantially different from those of the DGP. This difference is particularly relevant for recently developed time varying parameter models. We establish new conditions under which the dynamic properties of the true time varying parameter as well as of its filtered counterpart are both well-behaved and We only require the verification of one rather than two sets of conditions. In particular, we formulate conditions under which the (local) invertibility of the model follows directly from the stable behavior of the true time varying parameter. We use these results to prove the local strong consistency and asymptotic normality of the maximum likelihood estimator. To illustrate the results, we apply the theory to a number of empirically relevant models.
- Language
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Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 14-074/III
- Classification
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Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Hypothesis Testing: General
- Subject
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Observation-driven models
stochastic recurrence equations
contraction conditions
invertibility
stationarity
ergodicity
generalized autoregressive score models
- Event
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Geistige Schöpfung
- (who)
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Blasques, Francisco
Koopman, Siem Jan
Lucas, and André
- Event
-
Veröffentlichung
- (who)
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Tinbergen Institute
- (where)
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Amsterdam and Rotterdam
- (when)
-
2014
- Handle
- Last update
-
10.03.2025, 11:41 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
- Blasques, Francisco
- Koopman, Siem Jan
- Lucas, and André
- Tinbergen Institute
Time of origin
- 2014
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Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
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