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Modeling directional (circular) time series

Andrew Harvey, Stan Hurn and Stephen Thiele

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: Circular observations pose special problems for time series modeling. 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 hourly data on wind direction.

Keywords: Autoregression; circular data; dynamic conditional score model; von Mises distribution; wind direction (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2019-08-12
Note: ach34
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