24-062/III - Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application

• Authors
  Francisco Blasques, Vrije Universiteit Amsterdam ; Janneke van Brummelen, Vrije Universiteit Amsterdam ; Paolo Gorgi, Vrije Universiteit Amsterdam ; Siem Jan Koopman, Vrije Universiteit Amsterdam
• Publication date
  September 27, 2024

• Keywords
  consistency, cycle, non-stationary time series, two-step estimation, vector autoregression
• JEL
  C13, C32