ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS

DOI10.1017/S0266466613000467zbMath1314.62281OpenAlexW2155820298MaRDI QIDQ2878817

Jun Yu

Publication date: 5 September 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466613000467

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (10)

Double asymptotics for explosive continuous time models ⋮ UNIT ROOT TEST WITH HIGH-FREQUENCY DATA ⋮ IDENTIFYING RESTRICTIONS FOR FINITE PARAMETER CONTINUOUS TIME MODELS WITH DISCRETE TIME DATA ⋮ Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time ⋮ Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model ⋮ Asymptotic theory for linear diffusions under alternative sampling schemes ⋮ New distribution theory for the estimation of structural break point in mean ⋮ Optimal adaptive sampling for a symmetric two-state continuous time Markov chain ⋮ In-fill asymptotic theory for structural break point in autoregressions

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