Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models

10 Oct 2016 Blasques F CREATES Gorgi P CREATES Koopman S CREATES Wintenberger O University of Copenhagen, LSTA

Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical applications. As a result, the asymptotic theory of maximum likelihood and quasi-maximum likelihood estimators may be compromised... (read more)

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