Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal AStA Advances in Statistical Analysis.
Volume (Year): 95 (2011)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=112915
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.:
- 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.
- 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.
- Elerian, O. & Chib, S. & Shephard, N., 1998.
"Likelihood INference for Discretely Observed Non-linear Diffusions,"
146, Economics Group, Nuffield College, University of Oxford.
- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001. "Likelihood Inference for Discretely Observed Nonlinear Diffusions," Econometrica, Econometric Society, vol. 69(4), pages 959-93, July.
- Ola Elerian & Siddhartha Chib & Neil Shephard, 2000. "Likelihood inference for discretely observed non-linear diffusions," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre.
- Neil Shephard & Ola Elerian & Siddhartha Chib, 1998. "Likelihood inference for discretely observed non-linear diffusions," Economics Series Working Papers 1998-W10, University of Oxford, Department of Economics.
- 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.
- Bresson G. & Hsiao C. & Pirotte A., 2007.
"Assessing the Contribution of R&D to Total Factor Productivity – a Bayesian Approach to Account for Heterogeneity And Heteroscedasticity,"
Working Papers ERMES
0708, ERMES, University Paris 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.
- 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.
- 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.
- Badi Baltagi & Chihwa Kao & Sanggon Na, 2011. "Test of hypotheses in panel data models when the regressor and disturbances are possibly non-stationary," AStA Advances in Statistical Analysis, Springer, vol. 95(4), pages 329-350, December.
- Bresson G. & Hsiao C., 2008.
"A Functional Connectivity Approach for Modeling Cross-Sectional Dependence with an Application to the Estimation of Hedonic Housing Prices in Paris,"
Working Papers ERMES
0810, ERMES, University Paris 2.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Bergstrom, A. R., 1988. "The History of Continuous-Time Econometric Models," Econometric Theory, Cambridge University Press, vol. 4(03), pages 365-383, December.
- 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.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.