Consistency, distributional convergence, and optimality of score-driven filters
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More about this item
Keywords
score-driven models; information theoretic optimality; Kullback-Leibler divergence; pseudo true time-varying parameters; in-fill asymptotics.;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
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-10-09 (Econometrics)
- NEP-ETS-2023-10-09 (Econometric Time Series)
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