Modelling circular time series

A-Tier
Journal: Journal of Econometrics
Year: 2024
Volume: 239
Issue: 1

Authors (4)

Harvey, Andrew (University of Cambridge) Hurn, Stan (National Centre for Econometri...) Palumbo, Dario (not in RePEc) Thiele, Stephen (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 4 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:econom:v:239:y:2024:i:1:s0304407623001446
Journal Field
Econometrics
Author Count
4
Added to Database
2026-01-25