Gaussian estimation of a continuous time dynamic model with common stochastic trends

Econometric Theory

Volumn 12, Issue 2, 1996, Pages 361-373

  Simos, Theodore ^a  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030544316     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600006630     Document Type: Article

References (6)

1. Agbeyegbe, T.D. (1987) An exact discrete analogue to a closed linear first order continuous time system with mixed sample. Econometric Theory 3, 143-149.
2. Agbeyegbe, T.D. (1988) An exact discrete analogue of an open linear non-stationary first order continuous time system with mixed sample. Journal of Econometrics 39, 237-250.
3. Bergstrom, A.R. (1983) Gaussian estimation of structural parameters in higher order continuous time dynamic models. Econometrica 51, 117-152.
4. Bergstrom, A.R. (1984) Continuous time stochastic models and issues of aggregation over time. In Z. Griliches & M.D. Intriligator (eds.), Handbook of Econometrics, vol. 2, ch. 20, pp. 1145-1211. Amsterdam: North-Holland.
5. Bergstrom, A.R. (1985) The estimation of parameters in non-stationary higher order continuous time dynamic models. Econometric Theory 1, 369-386.
6. Bergstrom, A.R. (1986) The estimation of open higher order continuous time dynamic models with mixed stock and flow data. Econometric Theory 2, 350-373.