Gaussian estimation of a continuous time system with common stochastic trends (Journal article)

Simos, T.


We derive the exact discrete model and the Gaussian likelihood function of a first-order system of linear stochastic differential equations driven by an observable vector of stochastic trends and a vector of stationary innovations.
Institution and School/Department of submitter: Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών
URI: http://olympias.lib.uoi.gr/jspui/handle/123456789/11195
Link: http://journals.cambridge.org/action/displayAbstract;jsessionid=DC5A0F01C389495A24AFBACE60DFCAFE.journals?fromPage=online&aid=2935472
Publisher: Cambridge University Press
Appears in Collections:Άρθρα σε επιστημονικά περιοδικά ( Ανοικτά)

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