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The Likelihood of a Continuous-time Vector Autoregressive Model

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  • J. Roderick McCrorie

    (Queen Mary, University of London)

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    Abstract

    This paper provides a method that weakens conditions under which the exact likelihood of a continuous-time vector autoregressive model can be derived. In particular, the method does not require the restrictions extant methods impose on discrete data that limit the applicability of continuous-time methods to real economic time series. The method applies generally to higher-order continuous-time systems involving mixed stock and flow data.

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    File URL: http://www.econ.qmul.ac.uk/papers/doc/wp419.pdf
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    Bibliographic Info

    Paper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 419.

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    Date of creation: Oct 2000
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    Handle: RePEc:qmw:qmwecw:wp419

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    Related research

    Keywords: Continuous-time; Vector autoregression; Exact likelihood; Time series;

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    1. Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.
    2. Bergstrom, Albert Rex, 1983. "Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models," Econometrica, Econometric Society, vol. 51(1), pages 117-52, January.
    3. Bergstrom, A. R., 1986. "The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data," Econometric Theory, Cambridge University Press, vol. 2(03), pages 350-373, December.
    4. Bergstrom, A.R., 1984. "Continuous time stochastic models and issues of aggregation over time," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 20, pages 1145-1212 Elsevier.
    5. Zadrozny, Peter, 1988. "Gaussian Likelihood of Continuous-Time ARMAX Models When Data Are Stocks and Flows at Different Frequencies," Econometric Theory, Cambridge University Press, vol. 4(01), pages 108-124, April.
    6. A.R. Bergstrom, . "Gaussian Estimation of Mixed Order Continuous Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data," Economics Discussion Papers 448, University of Essex, Department of Economics.
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