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

Simos, T
(1996) Econometric Theory — Vol. 12, n° 2, p. 361-373 (1996)

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  • Simos, T
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Abstract
We derive the exact discrete model and the Gaussian likelihood function of a first-order system of linear stochastic differential equations driven by an observable vector of stochastic trends and a vector of stationary innovations.
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Simos, T. (1996). Gaussian estimation of a continuous time dynamic model with common stochastic trends. Econometric Theory, 12(2), 361-373. https://doi.org/10.1017/S0266466600006630 (Original work published 1996)