Modeling time series with zero observations

Andrew Harvey and Ryoko Ito ()
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Andrew Harvey: Faculty of Economics, Cambridge University
Ryoko Ito: Dept of Economics and Nuffield College, Oxford University

No 2017-W01, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: We consider situations in which a signi?cant proportion of observations in a time series are zero, but the remaining observations are positive and measured on a continuous scale. We propose a new dynamic model in which the conditional distribution of the observations is constructed by shifting a distribution for non-zero observations to the left and censoring negative values. The key to generalizing the censoring approach to the dynamic case is to have (the logarithm of) the location/scale parameter driven by a ?lter that depends on the score of the conditional distribution. An exponential link function means that seasonal effects can be incorporated into the model and this is done by means of a cubic spline (which can potentially be time-varying). The model is ?tted to daily rainfall in northern Australia and compared with a dynamic zero-augmented model.

Keywords: Censored distributions; dynamic conditional score model; generalized beta distribution; rainfall; seasonality, zero aug- mented model. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2017-02-21
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:1701

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