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