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.
- 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.
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- Peter C.B. Phillips, 1988.
"Error Correction and Long Run Equilibrium in Continuous Time,"
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- Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-80, July.
- Sanford J. Grossman & Angelo Melino & Robert J. Shiller, 1985.
"Estimating the Continuous Time Consumption Based Asset Pricing Model,"
NBER Working Papers
1643, National Bureau of Economic Research, Inc.
- Grossman, S J & Melino, Angelo & Shiller, Robert J, 1987. "Estimating the Continuous-Time Consumption-Based Asset-Pricing Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 315-27, July.
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