Quasifiltering for time-series modeling
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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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-09-11 (Econometrics)
- NEP-ETS-2015-09-11 (Econometric Time Series)
- NEP-ORE-2015-09-11 (Operations Research)
- NEP-URE-2015-09-11 (Urban & Real Estate Economics)
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