ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG

DOI10.1017/S0266466608090452zbMath1253.62095MaRDI QIDQ3181968

J. Roderick McCrorie

Publication date: 30 September 2009

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (7)

Estimating dynamic equilibrium models using mixed frequency macro and financial data ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ IDENTIFYING RESTRICTIONS FOR FINITE PARAMETER CONTINUOUS TIME MODELS WITH DISCRETE TIME DATA ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies ⋮ Estimation of continuous and discrete time co-integrated systems with stock and flow variables ⋮ In-fill asymptotic theory for structural break point in autoregressions ⋮ ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS

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