Necessary and sufficient conditions for the identifiability of observation-driven models

2019/04/05 by François Roueff, Randal Douc, Roueff, François +5
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Monetary Policy and Economic Impact #Statistical Methods and Inference #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1904.02893

openalex publication_date 2019/04/05 · openalex created_date 2019/08/22 · openalex updated_date 2026/07/28

Abstract

In this contribution we are interested in proving that a given observation-driven model is identifiable. In the case of a GARCH(p, q) model, a simple sufficient condition has been established in [1] for showing the consistency of the quasi-maximum likelihood estimator. It turns out that this condition applies for a much larger class of observation-driven models, that we call the class of linearly observation-driven models. This class includes standard integer valued observation-driven time series, such as the log-linear Poisson GARCH or the NBIN-GARCH models.

Citations

• ESTIMATING COMMUNITY STABILITY AND ECOLOGICAL INTERACTIONS FROM TIME-SERIES DATA

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