Identifying restrictions for finite parameter continuous time models with discrete time data

DOI10.1017/S0266466615000353zbMATH Open1442.62731OpenAlexW3124914643MaRDI QIDQ5349014FDOQ5349014

Authors: Jason R. Blevins 

Publication date: 22 August 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466615000353

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Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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Cited In (8)

• Cointegrated continuous-time linear state-space and MCARMA models
• Whittle estimation for continuous-time stationary state space models with finite second moments
• Optimal adaptive sampling for a symmetric two-state continuous time Markov chain
• Estimation of dynamic discrete models from time aggregated data
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• The problem of aliasing in identifying finite parameter continuous time stochastic models
• Estimation of continuous and discrete time co-integrated systems with stock and flow variables
• Estimation of continuous-time linear DSGE models from discrete-time measurements

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