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

DOI10.1080/0022250X.1991.9990088MaRDI QIDQ3988271zbMATH OpenFDO

Authors Alfred Hamerle, Willi Nagl, Hermann Singer

Publication date 28 June 1992

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

Full work available at URL https://doi.org/10.1080/0022250X.1991.9990088

zbMATH Keywords

continuous time modelexact discrete modelidentifictionLISRELmaximum likelihood estimation of systems of linear stochastic differential equationspanel datastructural equations models

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(16)

• Dynamic structural systems under indirect observation: Identifiability and estimation aspects from a system theoretic perspective
• The estimation of systems of joint differential-difference equations
• Second-order stochastic differential equation model as an alternative for the ALT and CALT models
• Time to intervene: a continuous-time approach to network analysis and centrality
• Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data
• Continuous time state space modeling of panel data by means of sem
• SEM modeling with singular moment matrices. II: ML-estimation of sampled stochastic differential equations
• Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model
• Continuous‐time modelling of irregularly spaced panel data using a cubic spline model
• The exact discrete model of a third-order system of linear stochastic differential equations with observable stochastic trends
• Problems with the estimation of stochastic differential equations using structural equations models
• The aliasing‐phenomenon in visual terms
• Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
• Continuous panel models with time dependent parameters
• SEM modeling with singular moment matrices. III: GLS estimation
• Identifying restrictions for finite parameter continuous time models with discrete time data

Describes a project that uses

Uses Software

• LISREL

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