skip to content

Faculty of Economics

Journal Cover

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

Modeling Circular Time Series

Journal of Econometrics, to appear


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)

Papers and Publications

Recent Publications

Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise Econometrica [2022]

Huffman, D., Raymond, C. and Shvets, J. Persistent Overconfidence and Biased Memory: Evidence from Managers American Economic Review [2022]

Ding, Y. A Simple Joint Model for Returns, Volatility and Volatility of Volatility Journal of Econometrics [2023]

Ajzenman, N., Cavalcanti, T. and Da Mata, D More than Words: Leaders' Speech and Risky Behavior During a Pandemic American Economic Journal: Economic Policy [2023]