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

DOI10.1080/0022250X.1991.9990088zbMATH Open0739.62086MaRDI QIDQ3988271FDOQ3988271

Authors: Alfred Hamerle, Willi Nagl, Hermann Singer 

Publication date: 28 June 1992

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

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zbMATH Keywords

panel dataLISRELstructural equations modelscontinuous time modelexact discrete modelidentifictionmaximum likelihood estimation of systems of linear stochastic differential equations

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Identification in Parametric Models
• The Analysis of Panel Data Under a Markov Assumption
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• The problem of identification in finite parameter continuous time models
• The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
• Title not available (Why is that?)
• The Structural Estimation of a Stochastic Differential Equation System
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Problems with the estimation of stochastic differential equations using structural equations models
• Title not available (Why is that?)

Cited In (15)

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

Uses Software

• LISREL

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