The problem of identification in finite parameter continuous time models

DOI10.1016/0304-4076(73)90021-3zbMATH Open0282.93053OpenAlexW2149858487MaRDI QIDQ1844181FDOQ1844181

Authors: Peter C. B. Phillips 

Publication date: 1973

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(73)90021-3

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)

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Cited In (35)

• Cointegrated continuous-time linear state-space and MCARMA models
• Bias in estimating multivariate and univariate diffusions
• Whittle estimation for continuous-time stationary state space models with finite second moments
• The aliasing‐phenomenon in visual terms
• The construction and estimation of continuous time models and discrete approximations in econometrics
• Sampling, embedding and inference for CARMA processes
• A multifactor transformed diffusion model with applications to VIX and VIX futures
• Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
• An efficient method to simulate diffusion bridges
• Multivariate AR systems and mixed frequency data: G-identifiability and estimation
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• In-fill asymptotic theory for structural break point in autoregressions
• Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
• Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model
• The Jacobian of the exponential function
• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
• Identifying restrictions for finite parameter continuous time models with discrete time data
• Explicit form of approximate transition probability density functions of diffusion processes
• Estimation of continuous and discrete time co-integrated systems with stock and flow variables
• Closed-form likelihood expansions for multivariate diffusions
• Continuous time state space modeling of panel data by means of sem
• Regression models with mixed sampling frequencies
• ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
• ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION
• REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING
• Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data
• Quasi-maximum likelihood estimation of multivariate diffusions
• ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• Estimation of continuous-time linear DSGE models from discrete-time measurements
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
• Spatial long memory
• Problems with the estimation of stochastic differential equations using structural equations models
• Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL

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