THE EXACT DISCRETE MODEL OF A THIRD-ORDER SYSTEM OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH OBSERVABLE STOCHASTIC TRENDS

DOI10.1017/S1365100509080274zbMath1179.62137OpenAlexW2107546524MaRDI QIDQ3653390

Theodore Simos

Publication date: 22 December 2009

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1365100509080274

zbMATH Keywords

continuous time modelsexact discretizationstochastic trendsfactor demand model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Macroeconomic theory (monetary models, models of taxation) (91B64) Inference from stochastic processes (62M99) Statistical methods; economic indices and measures (91B82) Consumer behavior, demand theory (91B42)

Cites Work

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• Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Error Correction and Long-Run Equilibrium in Continuous Time

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