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Quasifiltering for time-series modeling

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  • Tsyplakov, Alexander

Abstract

In the paper a method for constructing new varieties of time-series models is proposed. The idea is to start from an unobserved components model in a state-space form and use it as an inspiration for development of another time-series model, in which time-varying underlying variables are directly observed. The goal is to replace a state-space model with an intractable likelihood function by another model, for which the likelihood function can be written in a closed form. If state transition equation of the parent state-space model is linear Gaussian, then the resulting model would belong to the class of score driven model (aka GAS, DCS).

Suggested Citation

  • Tsyplakov, Alexander, 2015. "Quasifiltering for time-series modeling," MPRA Paper 66453, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:66453
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    File URL: https://mpra.ub.uni-muenchen.de/66453/1/MPRA_paper_66453.pdf
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    References listed on IDEAS

    as
    1. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107034723, December.
    2. Timothy Cogley & Thomas J. Sargent, 2005. "Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
    3. Drew Creal & Siem Jan Koopman & André Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute.
    4. Harvey, Andrew, 2006. "Forecasting with Unobserved Components Time Series Models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 7, pages 327-412, Elsevier.
    5. Drew Creal & Siem Jan Koopman & André Lucas, 2013. "Generalized Autoregressive Score Models With Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 777-795, August.
    6. Evans, Martin, 1991. "Discovering the Link between Inflation Rates and Inflation Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 169-184, May.
    7. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107034723.
    8. Archibald, Blyth C. & Koehler, Anne B., 2003. "Normalization of seasonal factors in Winters' methods," International Journal of Forecasting, Elsevier, vol. 19(1), pages 143-148.
    9. Drew Creal, 2012. "A Survey of Sequential Monte Carlo Methods for Economics and Finance," Econometric Reviews, Taylor & Francis Journals, vol. 31(3), pages 245-296.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    time-series model; state-space model; score driven model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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