23-051/III - Consistency, distributional convergence, and optimality of score-driven filters

• Authors
  Eric Beutner, Vrije Universiteit Amsterdam; Yicong Lin, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam
• Publication date
  August 30, 2023

• Keywords
  score-driven models, information theoretic optimality, Kullback-Leibler divergence, pseudo true time-varying parameters, in-fill asymptotics.
• JEL
  C22, C32