Estimating integrated higher-order continuous time autoregressions with an application to money-income causality
type: Item
instance of: scholarly article
title: Estimating integrated higher-order continuous time autoregressions with an application to money-income causality
zbMATH Open document ID: 0692.62099
DOI: 10.1016/0304-4076(89)90056-0
author: James H. Stock
author: Andrew C. Harvey
published in: Journal of Econometrics
publication date: 1989-01-01T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 4133383
zbMATH Keywords: money-income causality
zbMATH Keywords: algorithm
zbMATH Keywords: Gaussian maximum likelihood estimator
zbMATH Keywords: multivariate continuous time autoregressive process
zbMATH Keywords: multiple roots
zbMATH Keywords: stocks
zbMATH Keywords: flows
zbMATH Keywords: Kalman-Bucy filter
MaRDI profile type: MaRDI publication profile
full work available at URL: 0304-4076(89)90056-0
OpenAlex ID: W1992051748
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description: scientific article; zbMATH DE number 4133383