Gaussian estimation of a continuous time dynamic model with common stochastic trends

被引：7

作者：

Simos, T

机构：

来源：

ECONOMETRIC THEORY | 1996年 / 12卷 / 02期

关键词：

D O I：

10.1017/S0266466600006630

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：361 / 373

页数：13

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