gasmodel
Generalized Autoregressive Score Models
Last update: 2 February 2024
Copyright license: GNU General Public License, version 3.0
Software version identifier: 0.2.0, 0.3.0, 0.1.0, 0.4.0, 0.5.0, 0.5.1, 0.6.0
Estimation, forecasting, and simulation of generalized autoregressive score (GAS) models of Creal, Koopman, and Lucas (2013) <doi:10.1002/jae.1279> and Harvey (2013) <doi:10.1017/cbo9781139540933>. Model specification allows for various data types and distributions, different parametrizations, exogenous variables, joint and separate modeling of exogenous variables and dynamics, higher score and autoregressive orders, custom and unconditional initial values of time-varying parameters, fixed and bounded values of coefficients, and missing values. Model estimation is performed by the maximum likelihood method.
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