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Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms

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  • Hermann Singer

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    File URL: http://hdl.handle.net/10.1007/s10182-011-0172-3
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    Bibliographic Info

    Article provided by Springer in its journal AStA Advances in Statistical Analysis.

    Volume (Year): 95 (2011)
    Issue (Month): 4 (December)
    Pages: 375-413

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    Handle: RePEc:spr:alstar:v:95:y:2011:i:4:p:375-413

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    Web page: http://www.springerlink.com/link.asp?id=112915

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    Related research

    Keywords: Continuous-discrete state space models; Stochastic differential equations; Itô calculus; Sampling; Kalman filtering; Approximate nonlinear filtering; Structural equations modeling; Spatial models; Random fields; Stochastic partial differential equations;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001. "Likelihood Inference for Discretely Observed Nonlinear Diffusions," Econometrica, Econometric Society, vol. 69(4), pages 959-93, July.
    2. Georges Bresson & Cheng Hsiao & Alain Pirotte, 2011. "Assessing the contribution of R&D to total factor productivity—a Bayesian approach to account for heterogeneity and heteroskedasticity," AStA Advances in Statistical Analysis, Springer, vol. 95(4), pages 435-452, December.
    3. Singer, Hermann, 1995. "Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values," Econometric Theory, Cambridge University Press, vol. 11(04), pages 721-735, August.
    4. Yvo Pokern & Andrew M. Stuart & Petter Wiberg, 2009. "Parameter estimation for partially observed hypoelliptic diffusions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(1), pages 49-73.
    5. Yacine Ait-Sahalia, 2002. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach," Econometrica, Econometric Society, vol. 70(1), pages 223-262, January.
    6. Sethi, Suresh P. & Lehoczky, John P., 1981. "A comparison of the Ito and Stratonovich formulations of problems in finance," Journal of Economic Dynamics and Control, Elsevier, vol. 3(1), pages 343-356, November.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    8. Georges Bresson & Cheng Hsiao, 2011. "A functional connectivity approach for modeling cross-sectional dependence with an application to the estimation of hedonic housing prices in Paris," AStA Advances in Statistical Analysis, Springer, vol. 95(4), pages 501-529, December.
    9. Bergstrom, A. R., 1988. "The History of Continuous-Time Econometric Models," Econometric Theory, Cambridge University Press, vol. 4(03), pages 365-383, December.
    10. Badi H. Baltagi & Chihwa Kao & Sanggon Na, 2011. "Test Of Hypotheses In Panel Data Models When The Regressor And Disturbances Are Possibly Nonstationary," Center for Policy Research Working Papers 128, Center for Policy Research, Maxwell School, Syracuse University.
    11. Hamerle, Alfred & Singer, Hermann & Nagl, Willi, 1993. "Identification and Estimation of Continuous Time Dynamic Systems With Exogenous Variables Using Panel Data," Econometric Theory, Cambridge University Press, vol. 9(02), pages 283-295, April.
    12. John McArdle, 2011. "Longitudinal dynamic analyses of cognition in the health and retirement study panel," AStA Advances in Statistical Analysis, Springer, vol. 95(4), pages 453-480, December.
    13. Alexandros Beskos & Omiros Papaspiliopoulos & Gareth O. Roberts & Paul Fearnhead, 2006. "Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes (with discussion)," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(3), pages 333-382.
    14. Johan Oud & Robert Jansen, 2000. "Continuous time state space modeling of panel data by means of sem," Psychometrika, Springer, vol. 65(2), pages 199-215, June.
    15. Paul Fearnhead & Omiros Papaspiliopoulos & Gareth O. Roberts, 2008. "Particle filters for partially observed diffusions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 755-777.
    16. Harvey, A. C. & Stock, James H., 1985. "The Estimation of Higher-Order Continuous Time Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 1(01), pages 97-117, April.
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    Cited by:
    1. Isambi Mbalawata & Simo Särkkä & Heikki Haario, 2013. "Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering," Computational Statistics, Springer, vol. 28(3), pages 1195-1223, June.

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