IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Identifying Restrictions for Finite Parameter Continuous Time Models with Discrete Time Data

Listed author(s):
  • Jason R. Blevins

    ()

    (Department of Economics, Ohio State University)

When a continuous time model is sampled only at equally spaced intervals, a priori restrictions on the parameters can provide natural identifying restrictions which serve to rule out otherwise observationally equivalent parameter values. Specifically, we consider identification of the parameter matrix in a linear system of first-order stochastic differential equations, a setting which is general enough to include many common continuous time models in economics and finance. We derive a new characterization of the identification problem under a fully general class of linear restrictions on the parameter matrix and establish conditions under which only floor(n/2) restrictions are sufficient for identification when only the discrete time process is observable. Restrictions of the required kind are typically implied by economic theory and include zero restrictions that arise when some variables are excluded from an equation. We also consider identification of the intensity matrix of a discretely-sampled finite Markov jump processes, a related special case where we show that only floor((n-1)/2) restrictions are required. We demonstrate our results by applying them to two example models from economics and finance: a continuous time regression model with three equations and a continuous-time model of credit rating dynamics.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.econ.ohio-state.edu/pdf/blevins/wp13-01.pdf
Download Restriction: no

Paper provided by Ohio State University, Department of Economics in its series Working Papers with number 13-01.

as
in new window

Length: 17 Pages
Date of creation: Nov 2013
Handle: RePEc:osu:osuewp:13-01
Contact details of provider: Postal:
410 Arps Hall 1945 North High Street Columbus, Ohio 43210-1172

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:osu:osuewp:13-01. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John Slaughter)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.