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Citations for "The problem of identification in finite parameter continuous time models"

by Phillips, P. C. B.

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  1. Dennis Kristensen, 2004. "Estimation in two classes of semiparametric diffusion models," LSE Research Online Documents on Economics 24739, London School of Economics and Political Science, LSE Library.
  2. Peter C.B. Phillips & Jun Yu, 2007. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers 1597, Cowles Foundation for Research in Economics, Yale University.
  3. Faff, Robert & Gray, Philip, 2006. "On the estimation and comparison of short-rate models using the generalised method of moments," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3131-3146, November.
  4. Lawrence J. Christiano, 1987. "Estimating continuous time rational expectations models in frequency domain: a case study," Working Papers 301, Federal Reserve Bank of Minneapolis.
  5. 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.
  6. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
  7. Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc.
  8. Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010. "Regression models with mixed sampling frequencies," Journal of Econometrics, Elsevier, vol. 158(2), pages 246-261, October.
  9. Chaohua Dong & Jiti Gao, 2011. "Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation," Monash Econometrics and Business Statistics Working Papers 19/11, Monash University, Department of Econometrics and Business Statistics.
  10. Lars Peter Hansen & Thomas J. Sargent, 1980. "Methods for estimating continuous time Rational Expectations models from discrete time data," Staff Report 59, Federal Reserve Bank of Minneapolis.
  11. Renault, Eric & Sekkat, Khalid & Szafarz, Ariane, 1998. "Testing for spurious causality in exchange rates," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 47-66, January.
  12. Jeremy Berkowitz, 2000. "On identification of continuous time stochastic processes," Finance and Economics Discussion Series 2000-07, Board of Governors of the Federal Reserve System (U.S.).
  13. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Sim Kee Boon Institute for Financial Economics.
  14. Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun, 2011. "Bias in estimating multivariate and univariate diffusions," Journal of Econometrics, Elsevier, vol. 161(2), pages 228-245, April.
  15. Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics Working Papers 2011-26, University of Adelaide, School of Economics.
  16. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
  17. Choi, Seungmoon, 2013. "Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, vol. 174(2), pages 45-65.
  18. Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series /2007/520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  19. Orazio Di Miscia, 2005. "Nonparametric estimation of diffusion process: a closer look," Finance 0504016, EconWPA.
  20. Chaohua Dong & Jiti Gao, 2012. "Expansion of Lévy Process Functionals and Its Application in Statistical Estimation," Monash Econometrics and Business Statistics Working Papers 2/12, Monash University, Department of Econometrics and Business Statistics.
  21. Chambers, M.J. & McCrorie, J.R., 2004. "Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems," Discussion Paper 2004-40, Tilburg University, Center for Economic Research.
  22. Chambers, Marcus J. & Roderick McCrorie, J., 2007. "Frequency domain estimation of temporally aggregated Gaussian cointegrated systems," Journal of Econometrics, Elsevier, vol. 136(1), pages 1-29, January.