CYCLICAL TRENDS IN CONTINUOUS TIME MODELS

DOI10.1017/S0266466608090440zbMath1278.62179OpenAlexW2109425097MaRDI QIDQ3181967

Joanne S. Ercolani

Publication date: 30 September 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608090440

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic growth models (91B62)

Cites Work

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• Continuous time autoregressive models with common stochastic trends
• ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
• Properties of higher order stochastic cycles
• MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
• A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends

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