Beutner, Eric A.; Lin, Yicong; Lucas, André - 2023
show that score-driven filters are consistent for the Kullback-Leibler (KL) optimal time-varying parameter path, which … time-varying parameter path even if the model is mis-specified in other respects. We also obtain distributional convergence … biased filters, use weaker assumptions, allow for more general forms of mis-specification, and consider general time-varying …