The Likelihood of the Parameters of a Continuous Time Vector Autoregressive Model
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References listed on IDEAS
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- Jewitt, Giles & Roderick McCrorie, J., 2005. "Computing estimates of continuous time macroeconometric models on the basis of discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 397-416, April.
More about this item
Keywordscontinuous time stochastic process; vector autoregressive model; likelihood function; time series analysis; application to economics;
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