Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data

DOI10.1111/JTSA.12503zbMATH Open1478.62242OpenAlexW2995726442WikidataQ126542147 ScholiaQ126542147MaRDI QIDQ5111844FDOQ5111844

Milena Hoyos

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12503

zbMATH Keywords

cointegrationsecond-order stochastic differential equationcontinuous time modelsmixed stock and flow data

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Error Correction and Long-Run Equilibrium in Continuous Time
• Parameter estimation and bias correction for diffusion processes
• A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends
• Bias in estimating multivariate and univariate diffusions
• Continuous time autoregressive models with common stochastic trends
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Cointegration and sampling frequency
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
• Computing estimates of continuous time macroeconometric models on the basis of discrete data
• THE EFFECTS OF DIFFERENCING ON THE GAUSSIAN LIKELIHOOD OF MODELS WITH UNOBSERVABLE STOCHASTIC TRENDS: A SIMPLE EXAMPLE

Cited In (1)

• A first order continuous time <scp>VAR</scp> with random coefficients

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