Modelling circular time series

Andrew Harvey, Stan Hurn, Dario Palumbo and Stephen Thiele

Journal of Econometrics, 2024, vol. 239, issue 1

Abstract: Circular variables often play an important role in the construction of models for analysing and forecasting the consequences of climate change and its impact on the environment. Such variables pose special problems for time series modelling. This article shows how the score-driven approach, developed primarily in econometrics, provides a natural solution to the difficulties and leads to a coherent and unified methodology for estimation, model selection and testing. The new methods are illustrated with data on wind direction.

Keywords: Directional statistics; Dynamic conditional score model; Nonstationarity; von Mises distribution; Wind direction (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446

DOI: 10.1016/j.jeconom.2023.02.016

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