Nonrecursive Models as Discrete Approximations to Systems of Stochastic Differential Equations

DOI10.2307/1909861zbMath0142.17403OpenAlexW2324577973MaRDI QIDQ5517466

A. R. Bergstrom

Publication date: 1966

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1909861

zbMATH Keywords

operations research

Related Items (20)

Estimating dynamic equilibrium models using mixed frequency macro and financial data ⋮ Comment: A selective overview of nonparametric methods in financial econometrics ⋮ ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION ⋮ ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS ⋮ REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING ⋮ ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG ⋮ Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms ⋮ A first order continuous time <scp>VAR</scp> with random coefficients ⋮ Parameter estimation for continuous-time models - a survey ⋮ Estimation of nonlinear mixed‐effects continuous‐time models using the continuous‐discrete extended Kalman filter ⋮ Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model ⋮ Assessing the relationships between Nationalism, Ethnocentrism, and Individualism in Flanders using Bergstrom's approximate discrete model ⋮ Rejoinder ⋮ Maximum likelihood estimation of partially observed diffusion models ⋮ Bias in estimating multivariate and univariate diffusions ⋮ The construction and estimation of continuous time models and discrete approximations in econometrics ⋮ The problem of identification in finite parameter continuous time models ⋮ ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS ⋮ A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan ⋮ A new approach based on inventory control using interval differential equation with application to manufacturing system

This page was built for publication: Nonrecursive Models as Discrete Approximations to Systems of Stochastic Differential Equations