Harvey, A. C., Hurn, S., Palumbo, D. and Thiele, S.

Modeling Circular Time Series

Journal of Econometrics, to appear

(2023)

Abstract: Circular observations pose special problems for time series modeling. 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 hourly data on wind direction.

Keywords: Autoregression, circular data, dynamic conditional score model, von Mises distribution, wind direction

JEL Codes: C22

Author links: Andrew Harvey  

Cambridge Working Paper in Economics Version of Paper: Modeling directional (circular) time series, Harvey, A. C., Hurn, S., Thiele, S., (2019)