Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
نویسندگان
چکیده
منابع مشابه
A General Framework for Observation Driven Time-Varying Parameter Models
We propose a new class of observation driven time series models that we refer to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled likelihood score. This 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 genera...
متن کاملpredicting streamflow using data-driven model and time series
accurate forecasting of streamflows has been one of the most important issues as it plays a key role in allotment of water resources. river flow simulations to determine the future river flows are important and practical. given the importance of flow in the coming years, in this research three stations: haji qooshan, ghare shoor and tamar in gorganrood cachment were simulated in 2002-2011. to s...
متن کاملAccounting for Missing Values in Score- Driven Time-Varying Parameter Models
We show that two alternative perspectives on how to deal with missing data in the context of the score-driven timevarying parameter models of Creal et al. (2013) and Harvey (2013) lead to precisely the same dynamic transition equations. As score-driven models encompass a wide variety of time-varying parameter models (including generalized autoregressive conditional volatility (GARCH) and durati...
متن کاملModeling and Forecasting Iranian Inflation with Time Varying BVAR Models
This paper investigates the forecasting performance of different time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, where the autoregressive coefficients are held constant and only the deterministic components are allo...
متن کاملEvent-driven and Attribute-driven Robustness
Over five decades have passed since the first wave of robust optimization studies conducted by Soyster and Falk. It is outstanding that real-life applications of robust optimization are still swept aside; there is much more potential for investigating the exact nature of uncertainties to obtain intelligent robust models. For this purpose, in this study, we investigate a more refined description...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Economics and Statistics
سال: 2016
ISSN: 0034-6535,1530-9142
DOI: 10.1162/rest_a_00533