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Gaussian estimation of a continuous time system with common stochastic trends

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Gaussian estimation of a continuous time system with common stochastic trends (EN)
Simos, T. (EN)
Simos, T. (EN)
1996
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. (EN)
Econometric Theory (EN)
English
Cambridge University Press (EN)
Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών (EL)
University of Ioannina
Repository of UOI Olympias
Σχολή Οικονομικών και Κοινωνικών Επιστημών
Τμήμα Οικονομικών Επιστημών
ΑΠΟΘΕΤΗΡΙΟ "ΟΛΥΜΠΙΑΣ"



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