Problems with the estimation of stochastic differential equations using structural equations models

DOI10.1080/0022250X.1991.9990088zbMath0739.62086MaRDI QIDQ3988271

Hermann Singer, Willi Nagl, Alfred Hamerle

Publication date: 28 June 1992

Published in: The Journal of Mathematical Sociology (Search for Journal in Brave)

zbMATH Keywords

continuous time modelpanel datastructural equations modelsLISRELexact discrete modelidentifictionmaximum likelihood estimation of systems of linear stochastic differential equations

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Applications of statistics to social sciences (62P25)

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Uses Software

• LISREL

Cites Work

• The problem of identification in finite parameter continuous time models
• The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
• The Analysis of Panel Data Under a Markov Assumption
• Problems with the estimation of stochastic differential equations using structural equations models
• Identification in Parametric Models
• The Structural Estimation of a Stochastic Differential Equation System
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