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Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2021). Maximum likelihood estimation for score-driven models Journal of Econometrics, :.

  • Journal
    Journal of Econometrics

We establish strong consistency and asymptotic normality of the maximum likelihood estimator for stochastic time-varying parameter models driven by the score of the predictive conditional likelihood function. For this purpose, we formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic normality both under correct specification and misspecification of the model. A detailed illustration is provided for a conditional volatility model with disturbances from the Student's t distribution.