Error Correction and Long-Run Equilibrium in Continuous Time

DOI10.2307/2938169zbMath0725.62101OpenAlexW2174346083MaRDI QIDQ5203540

Publication date: 1991

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d08/d0882-r.pdf

zbMATH Keywords

stochastic differential equations aliasing triangular system temporal aggregation error correction models continuous system spectral regression cointegrated systems discrete time reduced form Frequency domain procedures Gaussian assumptions Long-run equilibrium coefficients restricted cointegrating matrices stationary vector time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12) Inference from stochastic processes (62M99)

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