Maximum Likelihood Estimation for Score-Driven Models

Tinbergen Institute Discussion Paper 14-029/III

52 Pages Posted: 4 Mar 2014 Last revised: 31 Oct 2017

See all articles by Francisco Blasques

Francisco Blasques

VU University Amsterdam; Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Siem Jan Koopman

Vrije Universiteit Amsterdam - School of Business and Economics; Tinbergen Institute; Aarhus University - CREATES

Andre Lucas

VU Amsterdam - School of Business and Economics; Tinbergen Institute

Date Written: March 3, 2014

Abstract

We establish the strong consistency and asymptotic normality of the maximum likelihood estimator for time-varying parameter models driven by the score of the predictive likelihood function. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic normality under both correct specification and mis-specification of the model. A detailed illustration is provided for a conditional volatility model with disturbances from the Student’s t distribution.

(Inclusive Supplemental Appendix)

Keywords: score driven models, time-varying parameters,Markov processes, stationarity, invertibility, consistency, asymptotic normality

JEL Classification: C13, C22, C12

Suggested Citation

Blasques, Francisco and Koopman, Siem Jan and Lucas, Andre, Maximum Likelihood Estimation for Score-Driven Models (March 3, 2014). Tinbergen Institute Discussion Paper 14-029/III. Available at SSRN: https://ssrn.com/abstract=2404276 or http://dx.doi.org/10.2139/ssrn.2404276

Francisco Blasques (Contact Author)

VU University Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

Siem Jan Koopman

Vrije Universiteit Amsterdam - School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands
+31205986019 (Phone)

HOME PAGE: http://sjkoopman.net

Tinbergen Institute ( email )

Gustav Mahlerplein 117
1082 MS Amsterdam
Netherlands

HOME PAGE: http://personal.vu.nl/s.j.koopman

Aarhus University - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

Andre Lucas

VU Amsterdam - School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands
+31 20 598 6039 (Phone)
+31 20 598 6020 (Fax)

HOME PAGE: http://personal.vu.nl/a.lucas

Tinbergen Institute

Roetersstraat 31
Amsterdam, 1018 WB
Netherlands

HOME PAGE: http://www.tinbergen.nl

Register to save articles to
your library

Register

Paper statistics

Downloads
440
rank
60,833
Abstract Views
1,322
PlumX Metrics