EconPapers    
Economics at your fingertips  
 

Time-Varying Parameters in Econometrics: The editor’s foreword

F. Blasques, Andrew Harvey, Siem Jan Koopman and Andre Lucas

Journal of Econometrics, 2023, vol. 237, issue 2

Abstract: The Themed Issue Time-Varying Parameters in Econometrics consists of eight papers where theoretical, methodological and empirical developments are reported. Particular attention is given to observation-driven time-varying parameter models of which score-driven models is a sub-class. We will introduce the Themed Issue and review its contributions.

Keywords: Observation-driven time series models; Score-driven time series models; Financial econometrics (search for similar items in EconPapers)
JEL-codes: C31 C32 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407623001173
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001173

DOI: 10.1016/j.jeconom.2023.03.007

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-05-16
Handle: RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001173