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16-082/III - Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

  • Authors
    Francisco Blasques, VU University Amsterdam, the Netherlands; Paolo Gorgi, VU University Amsterdam, the Netherlands; University of Padua, Italy; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Aarhus University, Denmark; Olivier Wintenberger, University of Copenhagen, Denmark; Sorbonne Universités, UPMC University Paris 06, France
  • Publication date
    October 6, 2016
  • Keywords
    consistency, invertibility, maximum likelihood estimation, observation-driven models, stochastic recurrence equations
  • JEL
    C13, C32, C58
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