The Likelihood of the Parameters of a Continuous Time Vector Autoregressive Model
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Volume (Year): 5 (2002)
Issue (Month): 3 (October)
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- 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.
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- Peter C.B. Phillips, 1988.
"Error Correction and Long Run Equilibrium in Continuous Time,"
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882R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
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- Roderick McCrorie, J., 2001. "Interpolating exogenous variables in continuous time dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1399-1427, September.
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