Abstract

http://ssrn.com/abstract=1297183
 
 

References (49)



 
 

Citations (1)



 


 



A General Framework for Observation Driven Time-Varying Parameter Models


Drew D. Creal


University of Chicago - Booth School of Business - Econometrics and Statistics

Siem Jan Koopman


VU University Amsterdam; Tinbergen Institute

Andre Lucas


VU University Amsterdam - Faculty of Economics and Business; Tinbergen Institute

November 5, 2008

Tinbergen Institute Discussion Paper No. 08-108/4

Abstract:     
We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing time-varying parameters in a wide class of non-linear models. The GAS model encompasses other well-known models such as the generalized autoregressive conditional heteroskedasticity, the autoregressive conditional duration, the autoregressive conditional intensity, and the single source of error models. In addition, the GAS specification provides a wide range of new observation driven models. Examples include non-linear regression models with time-varying parameters, observation driven analogues of unobserved components time series models, multivariate point process models with time-varying parameters and pooling restrictions, new models for time-varying copula functions, and models for time-varying higher order moments. We study the properties of GAS models and provide several non-trivial examples of their application.

Number of Pages in PDF File: 54

Keywords: dynamic models, time-varying parameters, non-linearity, exponential family, marked point processes, copulas

JEL Classification: C10, C22, C32, C51

working papers series


Download This Paper

Date posted: November 11, 2008  

Suggested Citation

Creal, Drew D. and Koopman, Siem Jan and Lucas, Andre, A General Framework for Observation Driven Time-Varying Parameter Models (November 5, 2008). Tinbergen Institute Discussion Paper No. 08-108/4. Available at SSRN: http://ssrn.com/abstract=1297183 or http://dx.doi.org/10.2139/ssrn.1297183

Contact Information

Drew D. Creal
University of Chicago - Booth School of Business - Econometrics and Statistics ( email )
Chicago, IL 60637
United States
Siem Jan Koopman
VU University Amsterdam ( email )
De Boelelaan 1105
1081 HV Amsterdam
Netherlands
+31205986019 (Phone)
HOME PAGE: http://personal.vu.nl/s.j.koopman
Tinbergen Institute ( email )
Gustav Mahlerplein 117
1082 MS Amsterdam
Netherlands
HOME PAGE: http://personal.vu.nl/s.j.koopman
Andre Lucas (Contact Author)
VU University Amsterdam - Faculty of Economics and Business ( email )
De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands
+31 20 598 6039 (Phone)
+31 20 598 6020 (Fax)
HOME PAGE: http://www.feweb.vu.nl
Tinbergen Institute
Roetersstraat 31
Amsterdam, 1018 WB
Netherlands
HOME PAGE: http://www.tinbergen.nl
Feedback to SSRN


Paper statistics
Abstract Views: 742
Downloads: 172
Download Rank: 97,441
References:  49
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.594 seconds