The Estimation of Some Continuous Time Models

DOI10.2307/1913790MaRDI QIDQ4042595zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips

Publication date 1974

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913790

Mathematics Subject Classification ID

Stochastic analysis (60H99) Asymptotic distribution theory in statistics (62E20) Applications of statistics to economics (62P20)

Cited in

(15)

• An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample
• Parameter estimation for continuous-time models - a survey
• The construction and estimation of continuous time models and discrete approximations in econometrics
• Testing for unit roots in flow data sampled at different frequencies
• Multivariate AR systems and mixed frequency data: G-identifiability and estimation
• Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
• ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
• REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING
• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
• Some aspects of recursive parameter estimation
• Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
• Limiting sampling results for continuous-time ARMA systems
• Interpolating exogenous variables in continuous time dynamic models
• The exact discrete time representation of a system of fourth-order differential equations
• Regression models with mixed sampling frequencies

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