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The Likelihood of the Parameters of a Continuous Time Vector Autoregressive Model

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  • J. McCrorie

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    File URL: http://hdl.handle.net/10.1023/A:1021283821215
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    Article provided by Springer in its journal Statistical Inference for Stochastic Processes.

    Volume (Year): 5 (2002)
    Issue (Month): 3 (October)
    Pages: 273-286

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    Handle: RePEc:spr:sistpr:v:5:y:2002:i:3:p:273-286
    DOI: 10.1023/A:1021283821215
    Contact details of provider: Web page: http://www.springer.com

    Order Information: Web: http://www.springer.com/mathematics/probability/journal/11203/PS2

    Keywords: continuous time stochastic process; vector autoregressive model; likelihood function; time series analysis; application to economics;

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    1. 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 315-327, July.
    2. 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.
    3. Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-980, July.
    4. 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.
    5. Bergstrom, Albert Rex, 1983. "Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models," Econometrica, Econometric Society, vol. 51(1), pages 117-152, January.
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    Cited by:

    1. 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.

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