Modelling circular time series
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, develope...
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| Published in | Journal of econometrics Vol. 239; no. 1; p. 105450 |
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| Main Authors | , , , |
| Format | Journal Article |
| Language | English |
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Elsevier B.V
01.02.2024
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| 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. |
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| AbstractList | 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. |
| ArticleNumber | 105450 |
| Author | Palumbo, Dario Hurn, Stan Harvey, Andrew Thiele, Stephen |
| Author_xml | – sequence: 1 givenname: Andrew surname: Harvey fullname: Harvey, Andrew email: ach34@cam.ac.uk organization: Faculty of Economics, University of Cambridge, United Kingdom – sequence: 2 givenname: Stan surname: Hurn fullname: Hurn, Stan organization: School of Economics and Finance, Queensland University of Technology, Australia – sequence: 3 givenname: Dario surname: Palumbo fullname: Palumbo, Dario email: dario.palumbo@unive.it organization: Department of Economics, Ca’ Foscari University of Venice, Italy – sequence: 4 givenname: Stephen surname: Thiele fullname: Thiele, Stephen organization: School of Economics and Finance, Queensland University of Technology, Australia |
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| Cites_doi | 10.1111/j.2517-6161.1994.tb01981.x 10.1186/s42408-021-00119-y 10.1214/009053606000000803 10.1175/WAF-D-17-0121.1 10.1016/j.apenergy.2010.10.031 10.1016/j.gloplacha.2022.103820 10.1007/s11203-016-9154-0 10.1002/joc.3480 10.1016/j.spl.2018.04.011 10.1007/s00477-012-0642-5 10.1007/s12555-017-0289-6 10.1007/s10651-006-0015-7 10.1017/S0266466604206065 10.1002/jae.1279 10.1016/j.envsoft.2010.03.016 10.5194/nhess-21-941-2021 10.1111/j.1467-9868.2010.00748.x 10.1198/016214505000000286 10.1023/A:1008930032595 10.1016/j.jeconom.2021.06.003 10.1007/s00362-009-0277-x 10.1111/1475-4932.12627 |
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| Keywords | Nonstationarity Wind direction C22 Dynamic conditional score model Directional statistics von Mises distribution |
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