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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