12-020/4 - Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models

• Authors
  Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam; Marcel Scharth, VU University Amsterdam
• Publication date
  March 6, 2012

• Keywords
  Generalised autoregressive score model, Importance sampling, Model confidence set, Nonlinear state space model, Weibull-gamma mixture
• JEL
  C53, C58, C22