The estimation of parameters in nonstationary higher order continuous-time dynamic models

Econometric Theory

Volumn 1, Issue 3, 1985, Pages 369-385

  Bergstrom, A R ^a  

^a UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000197571     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466600011269     Document Type: Article

References (33)

1. Armington P. & Wolford C. PAC-MOD: An econometric model of selected U.S. and global indicators. World Bank (Global Modeling and Projections Division), Division Working Paper No. 1983–3.
2. Armington P. & Wolford C. Exchange rate dynamics and economic policy. Papers of Armington, Wolford an d Associates, 1984.
3. Basawa I. V. & Brockwell P. J. Asymptotic conditional inference for regular nonergodic models with an application to autoregressive processes. Annals of Statistics 12 1984: 161–171.
4. Bergstrom A. R. Non-recursive models as discrete approximations to systems of stochastic differential equations. Econometrica 34 1966: 173–182.
5. Bergstrom A. R. Gaussian estimation of structural parameters in higher order continuous time dynamic models. Econometrica 51 1983: 117–152.
6. Bergstrom A. R. Continuous time stochastic models and issues of aggregation over time. In Griliches Z. & Intriligator M. D. (eds.), Handbook of Econometrics, Chapter 20 and pp. 1145–1212. Amsterdam: North-Holland, 1984.
7. Bergstrom A. R., Monetary, fiscal and exchange rate policy in a continuous time model of the United Kingdom. In Malgrange P. and Muet P. (eds.), Contemporary Macroeconomic Modelling, Chapter 8 and pp. 183–206. Oxford: Blackwell, 1984.
8. Bergstrom A. R. & Wymer C. R. A model of disequilibrium neoclassical growth and its application to the United Kingdom. In Bergstrom A. R. (ed.), Statistical Inference in Continuous Time Economic Models, Chapter 10 and pp. 267–327. Amsterdam: North-Holland, 1976.
9. Durbin J. Efficient fitting of linear models for continuous time stationary time series from discrete data. Bulletin of the International Statistical Institute 38 1961: 273–282.
10. Gandolfo G. & Padoan P. C. A Disequilibrium Model of Real and Financial Accumulation in an Open Economy. Berlin: Springer, 1984.
11. Hansen L. P. & Sargent T. J. Formulating and estimating continuous time rational expectations models. Federal Reserve Bank of Minneapolis Research Department Staff Report 75, 1981.
12. Harvey A. C. & Stock J. H. The estimation of higher order continuous time autoregressive models. Econometric Theory 1 1985: 97–117.
13. Jones R. H. Fitting a continuous time autoregression to discrete data. In Findley D. F. (ed.), Applied Time Series Analysis II. New York: Academic, 1981.
14. Jonson P. D., Moses E. R., & Wymer C. R. The RBA76 model of the Australian Economy. In Conference in Applied Economic Research. Reserve Bank of Australia, 1977.
15. Jonson P. D., McKibbin W. J., & Trevor R. G. Exchange rates and capital flows: A sensitivity analysis. Canadian Journal of Economics 15 1982: 669–692.
16. Knight M. D. & Wymer C. R. A macroeconomic model of the United Kingdom. IMF Staff Papers 25 1978: 742–778.
17. Phillips P. C. B. The structural estimation of a stochastic differential equation system. Econometrica 40 1972: 1021–1041.
18. Phillips P. C. B. The estimation of some continuous time models. Econometrica 42 1974: 803–824.
19. Phillips P. C. B. The estimation of linear stochastic differential equation s with exogenous variables. In Bergstrom A. R. (ed.), Statistical Inference in Continuous Time Economic Models, Chapter 7 and pp. 135–173. Amsterdam: North-Holland, 1976.
20. Phillips P. C. B. Some computations based on observed data series of the exogenous variable component of continuous systems. In Bergstrom A. R. (ed.), Statistical Inference in Continuous Time Economic Models, Chapter 8 and pp. 174–214. Amsterdam: North-Holland, 1976.
21. Phillips P. C. B. Time series regression with unit roots. Cowles Foundation Discussion Paper No. 740, 1985.
22. Quandt R. E. Computational problems and methods. In Griliches Z. and Intriligator M. D. (eds.), Handbook of Econometrics, Chapter 12 and pp. 699–764. Amsterdam: North-Holland, 1984.
23. Robinson P. M. Fourier estimation of continuous time models. In Bergstrom A. R. (ed.), Statistical Inference in Continuous Time Models, Chapter 9 and pp. 215–266. Amsterdam: North-Holland, 1976.
24. Robinson P. M. The estimation of linear differential equations with constant coefficient. Econometrica 44 1976: 751–764.
25. Robinson P. M. Instrumental variables estimatio n of differential equations. Econometrica 44 1976: 765–776.
26. Robinson P. M. The constructio n and estimation of continuous time models and discrete approximations in econometrics. Journal of Econometrics 6 1977: 173–198.
27. Sargan J. D. Some discrete approximations to continuous time stochastic models. In Bergstrom A. R. (ed.), Statistical Inference in Continuous Time Economic Models, Chapter 3 and pp. 27–80. Amsterdam: North-Holland, 1976.
28. C. Sassanpour & Sheen J. An empirical analysis of the effect of monetary disequilibrium in open economies. Journal of Monetary Economics 13 1984: 127–163.
29. Tussio G. Demand management and exchange rate policy: the Italian experience. IMF Staff Papers 28 1981: 80–117.
30. Whittle P. Hypothesis Testing in Time Series Analysis. Stockholm: Almqvist and Wicksell, 1951.
31. Whittle P. The analysis of multiple stationary time series. Journal of the Royal Statistical Society, Series B 15 1953: 125–139.
32. Wymer C. R. Econometric estimation of stochastic differential equation systems. Econo-metrica 40 1972: 565–577.
33. Wymer C. R. Computer Programs, International Monetary Fund, 1978.