An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample

DOI10.1016/0304-4076(88)90057-7zbMath0668.62082OpenAlexW2004455289MaRDI QIDQ1118324

Terence D. Agbeyegbe

Publication date: 1988

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(88)90057-7

zbMATH Keywords

asymptotically efficient estimatorsexact discrete modelmixed stock and flow dataopen linear non-stationary first-order continuous- time systemstationary autoregressive moving average time-series model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Related Items (3)

REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING ⋮ A note on deriving the discrete spectra of some continuous-time processes ⋮ The estimation of continuous time models with mixed frequency data

Cites Work

• The Estimation of Some Continuous Time Models
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample