A New Class of Robust Observation-Driven Models
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009.
"Poisson Autoregression,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008. "Poisson Autoregression," Discussion Papers 08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009. "Poisson Autoregression," CREATES Research Papers 2009-12, Department of Economics and Business Economics, Aarhus University.
- F. Blasques & S. J. Koopman & A. Lucas, 2015. "Information-theoretic optimality of observation-driven time series models for continuous responses," Biometrika, Biometrika Trust, vol. 102(2), pages 325-343.
- S. Chandra & Masanobu Taniguchi, 2001. "Estimating Functions for Nonlinear Time Series Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 125-141, March.
- Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
- Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties," Tinbergen Institute Discussion Papers 14-074/III, Tinbergen Institute.
- White,Halbert, 1996.
"Estimation, Inference and Specification Analysis,"
Cambridge Books,
Cambridge University Press, number 9780521574464, November.
- White,Halbert, 1994. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521252805, November.
- Clive W.J. Granger, 1999. "Outline of forecast theory using generalized cost functions," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 161-173.
- Richard A. Davis, 2003. "Observation-driven models for Poisson counts," Biometrika, Biometrika Trust, vol. 90(4), pages 777-790, December.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019.
"Testing Garch-X Type Models,"
Econometric Theory, Cambridge University Press, vol. 35(5), pages 1012-1047, October.
- Rasmus Soendergaard Pedersen & Anders Rahbek, 2017. "Testing Garch-X Type Models," Discussion Papers 17-15, University of Copenhagen. Department of Economics.
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Theory,"
Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
- Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Applications to Poisson Models,"
Econometrica, Econometric Society, vol. 52(3), pages 701-720, May.
- Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
- Domowitz, Ian & White, Halbert, 1982. "Misspecified models with dependent observations," Journal of Econometrics, Elsevier, vol. 20(1), pages 35-58, October.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Blasques, F. & Francq, Christian & Laurent, Sébastien, 2023.
"Quasi score-driven models,"
Journal of Econometrics, Elsevier, vol. 234(1), pages 251-275.
- F. Blasques & Christian Francq & Sébastien Laurent, 2023. "Quasi score-driven models," Post-Print hal-04069143, HAL.
- Paul Labonne, 2022. "Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-23, Economic Statistics Centre of Excellence (ESCoE).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Blasques, F. & Francq, Christian & Laurent, Sébastien, 2023.
"Quasi score-driven models,"
Journal of Econometrics, Elsevier, vol. 234(1), pages 251-275.
- F. Blasques & Christian Francq & Sébastien Laurent, 2023. "Quasi score-driven models," Post-Print hal-04069143, HAL.
- Vasiliki Christou & Konstantinos Fokianos, 2014. "Quasi-Likelihood Inference For Negative Binomial Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 55-78, January.
- Blasques, Francisco & van Brummelen, Janneke & Koopman, Siem Jan & Lucas, André, 2022.
"Maximum likelihood estimation for score-driven models,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 325-346.
- Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Maximum Likelihood Estimation for Score-Driven Models," Tinbergen Institute Discussion Papers 14-029/III, Tinbergen Institute, revised 23 Oct 2017.
- Giovanni Angelini & Giuseppe Cavaliere & Enzo D'Innocenzo & Luca De Angelis, 2022. "Time-Varying Poisson Autoregression," Papers 2207.11003, arXiv.org.
- C. Gouriéroux & A. Monfort & J.‐M. Zakoïan, 2019.
"Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations,"
Econometrica, Econometric Society, vol. 87(1), pages 327-345, January.
- Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," MPRA Paper 87834, University Library of Munich, Germany.
- Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," Working Papers 2018-08, Center for Research in Economics and Statistics.
- Gabriele Fiorentini & Enrique Sentana, 2021.
"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Ali Ahmad & Christian Francq, 2016.
"Poisson QMLE of Count Time Series Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 291-314, May.
- Ahmad, Ali & Francq, Christian, 2014. "Poisson qmle of count time series models," MPRA Paper 59804, University Library of Munich, Germany.
- Ali Ahmad & Christian Francq, 2015. "Poisson QMLE of Count Time Series Models," Post-Print hal-01533548, HAL.
- Aknouche, Abdelhakim & Bendjeddou, Sara, 2016. "Negative binomial quasi-likelihood inference for general integer-valued time series models," MPRA Paper 76574, University Library of Munich, Germany, revised 03 Feb 2017.
- Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2024. "On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2024_04, Universidad Torcuato Di Tella.
- Magnus, Jan R., 2007.
"The Asymptotic Variance Of The Pseudo Maximum Likelihood Estimator,"
Econometric Theory, Cambridge University Press, vol. 23(5), pages 1022-1032, October.
- Jan R. Magnus, 2007. "The asymptotic variance of the pseudo maximum likelihood estimator," CIRJE F-Series CIRJE-F-479, CIRJE, Faculty of Economics, University of Tokyo.
- repec:gnv:wpaper:unige:76321 is not listed on IDEAS
- Vijverberg, Wim P. & Hasebe, Takuya, 2015. "GTL Regression: A Linear Model with Skewed and Thick-Tailed Disturbances," IZA Discussion Papers 8898, Institute of Labor Economics (IZA).
- Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2017. "Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations," MPRA Paper 79623, University Library of Munich, Germany.
- Tang, Niansheng & Wang, Wenjun, 2019. "Robust estimation of generalized estimating equations with finite mixture correlation matrices and missing covariates at random for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 640-655.
- Wooldridge, Jeffrey M., 2020. "On the consistency of the logistic quasi-MLE under conditional symmetry," Economics Letters, Elsevier, vol. 194(C).
- de Luna, Xavier & Johansson, Per, 2006. "Exogeneity in structural equation models," Journal of Econometrics, Elsevier, vol. 132(2), pages 527-543, June.
- Cuicui Lu & Weining Wang & Jeffrey M. Wooldridge, 2018.
"Using generalized estimating equations to estimate nonlinear models with spatial data,"
Papers
1810.05855, arXiv.org.
- Lu, Cuicui & Wang, Weining & Wooldridge, Jeffrey M., 2020. "Using generalized estimating equations to estimate nonlinear models with spatial data," IRTG 1792 Discussion Papers 2020-017, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Moeltner, Klaus, 2003.
"Addressing aggregation bias in zonal recreation models,"
Journal of Environmental Economics and Management, Elsevier, vol. 45(1), pages 128-144, January.
- Moeltner, Klaus, 2001. "Addressing Aggregation Bias in Zonal Recreation Models," Western Region Archives 321693, Western Region - Western Extension Directors Association (WEDA).
- Anatolyev, Stanislav, 2009.
"Dynamic modeling under linear-exponential loss,"
Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
- Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, New Economic School (NES).
- Miguel A. Delgado & Thomas J. Kniesner, 1997.
"Count Data Models With Variance Of Unknown Form: An Application To A Hedonic Model Of Worker Absenteeism,"
The Review of Economics and Statistics, MIT Press, vol. 79(1), pages 41-49, February.
- Delgado, M.A. & Kniesner, T.J., 1994. "Count Data Models with Viriance of Unknown Form - An Application to a Hedonic Model of Worker Absenteeism," Papers 94-011, Indiana - Center for Econometric Model Research.
- Kniesner, Thomas J., 1994. "Count data models with variance of unknown form: an application to a hedonic model of worker absenteeism," DES - Working Papers. Statistics and Econometrics. WS 3959, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Lucas, Andre, 2000.
"A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 31-39, January.
- Lucas, André, 1997. "A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior," Serie Research Memoranda 0056, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-11-02 (Econometrics)
- NEP-ETS-2020-11-02 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tin:wpaper:20200073. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tinbergen Office +31 (0)10-4088900 (email available below). General contact details of provider: https://edirc.repec.org/data/tinbenl.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.