The Structural Estimation of a Stochastic Differential Equation System

DOI10.2307/1913853MaRDI QIDQ5677256zbMATH OpenOpenAlexWikidataFDO

Authors Peter C. B. Phillips

Publication date 1972

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913853

Mathematics Subject Classification ID

Trade models (91B60) Economic time series analysis (91B84)

Cited in

(23)

• The construction and estimation of continuous time models and discrete approximations in econometrics
• Inference in continuous systems with mildly explosive regressors
• Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets
• The problem of identification in finite parameter continuous time models
• Indirect estimation of stochastic differential equation models: some computational experiments
• Comment: A selective overview of nonparametric methods in financial econometrics
• Structural estimation of jump-diffusion processes in macroeconomics
• Estimating dynamic equilibrium models using mixed frequency macro and financial data
• A two-stage realized volatility approach to estimation of diffusion processes with discrete data
• REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING
• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
• Problems with the estimation of stochastic differential equations using structural equations models
• Bias in the estimation of the mean reversion parameter in continuous time models
• Estimation of semiparametric locally stationary diffusion models
• YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS
• Bias in estimating multivariate and univariate diffusions
• Identifying restrictions for finite parameter continuous time models with discrete time data
• Stochastic stability and stabilization for stochastic differential semi‐Markov jump systems with incremental quadratic constraints
• Identification and estimation of continuous-time dynamic discrete choice games
• Identification of continuous-time linear filters when only discrete-time data is available
• Pricing catastrophe risk during transitions of physical and economic environments
• Regression models with mixed sampling frequencies
• Computing estimates of continuous time macroeconometric models on the basis of discrete data

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