Mixed first- and second-order cointegrated continuous time models with mixed stock and flow data

DOI10.1111/JTSA.12503MaRDI QIDQ5111844zbMATH OpenOpenAlexWikidataFDO

Authors 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)

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Cites work

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

Cited in

(5)

• A first order continuous time <scp>VAR</scp> with random coefficients
• Forecasting discrete stock and flow data generated by a second order continuous time system
• The estimation of continuous time models with mixed frequency data
• Exact discrete representations of linear continuous time models with mixed frequency data
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA

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