ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS

DOI10.1017/S0266466606060233MaRDI QIDQ3409063zbMATH OpenOpenAlexWikidataFDO

Authors Joanne S. Ercolani, Marcus J. Chambers

Publication date 7 November 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466606060233

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

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Cites work

• A dynamic IS-LM model with delayed taxation revenues
• MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
• On dynamics with time-to-build investment technology and non-time- separable leisure
• The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
• The problem of identification in finite parameter continuous time models
• Time-to-build and cycles
• Vector linear time series models

Cited in

(5)

• On the asymptotic properties of a feasible estimator of the continuous time long memory parameter
• On the simultaneous estimation of delay model parameters in economic dynamics
• REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING
• Estimating parameters in delay differential equation models
• CYCLICAL TRENDS IN CONTINUOUS TIME MODELS

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