Econometric Estimation of Stochastic Differential Equation Systems

DOI10.2307/1913185MaRDI QIDQ5674835zbMATH OpenOpenAlexWikidataFDO

Authors Clifford R. Wymer

Publication date 1972

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913185

Mathematics Subject Classification ID

Stochastic analysis (60H99) Applications of statistics to economics (62P20)

Cited in

(9)

• The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
• Parameter estimation for continuous-time models - a survey
• Retail inventory investment behaviour
• The construction and estimation of continuous time models and discrete approximations in econometrics
• The problem of identification in finite parameter continuous time models
• Domain restrictions on interest rates implied by no arbitrage
• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
• The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs
• A stochastic model for mortality rate on italian data

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