Gaussian estimation of mixed-order continuous-time dynamic models with unobservable stochastic trends from mixed stock and flow data

Econometric Theory

Volumn 13, Issue 4, 1997, Pages 467-505

  Bergstrom, A R ^a,b  

^a UNIVERSITY OF ESSEX   (United Kingdom)

^b NONE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031524867     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600005971     Document Type: Article

References (13)

1. Agbeyegbe, T.D. (1984) The exact discrete analog to a closed linear mixed-order system. Journal of Economic Dynamics and Control 7, 363-375.
2. Bergstrom, A.R. (1983) Gaussian estimation of structural parameters in higher order continuous time dynamic models. Econometrica 51, 117-152.
3. Bergstrom, A.R. (1984) Continuous time stochastic models and issues of aggregation over time. In Z. Griliches & M.D. Intriligator (eds.), Handbook of Econometrics, pp. 1145-1212. Amsterdam: North-Holland.
4. Bergstrom, A.R. (1985) The estimation of parameters in nonstationary higher-order continuous time dynamic models. Econometric Theory 1, 369-385.
5. 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.
6. Bergstrom, A.R. (1989) Optimal forecasting of discrete stock and flow data generated by a higher order continuous time system. Computers and Mathematics with Applications 17, 1203-1214.
7. Bergstrom, A.R. (1990) Hypothesis testing in continuous time econometric models. In A.R. Bergstrom, Continuous Time Econometric Modelling, pp. 145-164. Oxford: Oxford University Press.
8. Bergstrom, A.R., K.B. Nowman, & S. Wandasiewicz (1994) Monetary and fiscal policy in a second-order continuous time macroeconometric model of the United Kingdom. Journal of Economic Dynamics and Control 18, 731-761.
9. Bergstrom, A.R., K.B. Nowman, & C.R. Wymer (1992) Gaussian estimation of a second order continuous time macreconometric model of the U.K. Economic Modelling 9, 313-351.
10. Chambers, M.J. (1991) Estimating general linear continuous time systems. Econometric Theory 7, 531-542.
11. Comte, F. (1994) Discrete and Continuous Time Cointegration. Working paper 9442, CREST-INSEE, Paris.
12. Engle, R.F. & C.W.J. Granger (1987) Cointegration and error correction: Representation estimation and testing. Econometrica 55, 251-276.
13. Harvey, A.C., S.G.B. Henry, S. Peters, & S. Wren-Lewis (1986) Stochastic trends in dynamic regression models: An application to the employment-output equation. Economic Journal 96, 975-985.