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

DOI10.1017/S0266466615000353MaRDI QIDQ5349014zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(8)

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

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