Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends
\Ve consider the estimation of a first order system of linear stochastic differential equations driven by an observable vector of stochastic trends and a vector of stationary innovations. vVe derive both the exact discrete model and the Gaussian likelihood function in the case the system comprises stock and flow variables and is observed at equispaced points in time.
|Date of creation:||01 Feb 1995|
|Contact details of provider:|| Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium)|
Fax: +32 10474304
Web page: http://www.uclouvain.be/core
More information through EDIRC