Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends

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.

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Year of publication:	1996
Authors:	Simos, Theodore
Published in:	Econometric Theory. - Cambridge University Press. - Vol. 12.1996, 02, p. 361-373
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005250181