• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • (CANCELED) Econometrics and Data Science Methods
      • Networks in Micro- and Macroeconomics
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
  • Alumni
  • Times

14-029/III - Maximum Likelihood Estimation for Score-Driven Models


  • Authors
    Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam
  • Publication date
    March 4, 2014
  • Keywords
    score-driven models, time-varying parameters, Markov processes, stationarity, invertibility, consistency, asymptotic normality
  • JEL
    C13, C22, C12