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

DOI: 10.1016/j.jeconom.2023.03.007

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