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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 9781107630024.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    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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