IDEAS home Printed from https://ideas.repec.org/r/eee/econom/v1y1973i4p351-362.html

The problem of identification in finite parameter continuous time models

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Joanne S. McGarry & Marcus J. Chambers, 2004. "Party formation and coalitional bargaining in a model of proportional representation," Discussion Papers 04-07, Department of Economics, University of Birmingham.
  2. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
  3. Bonsoo Koo & Oliver Linton, 2010. "Semiparametric Estimation of Locally Stationary Diffusion Models," STICERD - Econometrics Paper Series 551, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  4. Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," Adelaide Economics Working Papers 2011-26, Adelaide University, School of Economics.
  5. Henghsiu Tsai & K. S. Chan, 2005. "Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 691-713, September.
  6. Renault, Eric & Sekkat, Khalid & Szafarz, Ariane, 1998. "Testing for spurious causality in exchange rates," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 47-66, January.
  7. Choi, Seungmoon, 2013. "Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, vol. 174(2), pages 45-65.
  8. Burton Singer & Seymour Spilerman, 1976. "Some Methodological Issues in the Analysis of Longitudinal Surveys," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 447-474, National Bureau of Economic Research, Inc.
  9. Lawrence J. Christiano, 1987. "Estimating continuous time rational expectations models in frequency domain: a case study," Working Papers 301, Federal Reserve Bank of Minneapolis.
  10. Orazio Di Miscia, 2005. "Nonparametric estimation of diffusion process: a closer look," Finance 0504016, University Library of Munich, Germany.
  11. Jason R. Blevins, 2026. "Identification and estimation of continuous‐time dynamic discrete choice games," Quantitative Economics, Econometric Society, vol. 17(1), pages 254-296, January.
  12. Chambers, M.J. & McCrorie, J.R., 2004. "Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems," Discussion Paper 2004-40, Tilburg University, Center for Economic Research.
  13. Marc J. M. H. Delsing & Johan H. L. Oud, 2008. "Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 58-82, February.
  14. Peter C. B. Phillips & Jun Yu, 2009. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 22, pages 497-530, Springer.
  15. Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series 520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  16. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
  17. Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
  18. Choi, Seungmoon, 2015. "Explicit form of approximate transition probability density functions of diffusion processes," Journal of Econometrics, Elsevier, vol. 187(1), pages 57-73.
  19. Johan Oud & Robert Jansen, 2000. "Continuous time state space modeling of panel data by means of sem," Psychometrika, Springer;The Psychometric Society, vol. 65(2), pages 199-215, June.
  20. Faff, Robert & Gray, Philip, 2006. "On the estimation and comparison of short-rate models using the generalised method of moments," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3131-3146, November.
  21. Christensen, Bent Jesper & Neri, Luca & Parra-Alvarez, Juan Carlos, 2024. "Estimation of continuous-time linear DSGE models from discrete-time measurements," Journal of Econometrics, Elsevier, vol. 244(2).
  22. Chaohua Dong & Jiti Gao, 2011. "Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation," Monash Econometrics and Business Statistics Working Papers 19/11, Monash University, Department of Econometrics and Business Statistics.
  23. Vicky Fasen-Hartmann & Celeste Mayer, 2022. "Whittle estimation for continuous-time stationary state space models with finite second moments," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(2), pages 233-270, April.
  24. Magnus, Jan R. & Pijls, Henk G.J. & Sentana, Enrique, 2021. "The Jacobian of the exponential function," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  25. Zadrozny, Peter A., 2016. "Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 438-446.
  26. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
  27. Lars Peter Hansen & Thomas J. Sargent, 1980. "Methods for estimating continuous time Rational Expectations models from discrete time data," Staff Report 59, Federal Reserve Bank of Minneapolis.
  28. Jeremy Berkowitz, 2000. "On identification of continuous time stochastic processes," Finance and Economics Discussion Series 2000-07, Board of Governors of the Federal Reserve System (U.S.).
  29. Chaohua Dong & Jiti Gao, 2012. "Expansion of Lévy Process Functionals and Its Application in Statistical Estimation," Monash Econometrics and Business Statistics Working Papers 2/12, Monash University, Department of Econometrics and Business Statistics.
  30. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
  31. Michael Don Ward & A. K. Mahajan, 1984. "Defense Expenditures, Security Threats, and Governmental Deficits," Journal of Conflict Resolution, Peace Science Society (International), vol. 28(3), pages 382-419, September.
  32. Marcus J. Chambers & J. Roderick McCrorie & Michael A. Thornton, 2018. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Springer Books, in: Kees van Montfort & Johan H. L. Oud & Manuel C. Voelkle (ed.), Continuous Time Modeling in the Behavioral and Related Sciences, chapter 0, pages 317-357, Springer.
  33. Huang Xiao, 2013. "Quasi-maximum likelihood estimation of multivariate diffusions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 179-197, April.
  34. Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun, 2011. "Bias in estimating multivariate and univariate diffusions," Journal of Econometrics, Elsevier, vol. 161(2), pages 228-245, April.
  35. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
  36. Stefano M. Iacus & Giuseppe Porro, 2015. "EU regional unemployment as a transnational matter: An analysis via the Gompertz diffusion processs," Papers in Regional Science, Wiley Blackwell, vol. 94(4), pages 703-726, November.
  37. Yu, Jun, 2014. "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results," Econometric Theory, Cambridge University Press, vol. 30(4), pages 737-774, August.
  38. Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010. "Regression models with mixed sampling frequencies," Journal of Econometrics, Elsevier, vol. 158(2), pages 246-261, October.
  39. Chambers, Marcus J. & Roderick McCrorie, J., 2007. "Frequency domain estimation of temporally aggregated Gaussian cointegrated systems," Journal of Econometrics, Elsevier, vol. 136(1), pages 1-29, January.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.