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Identification and estimation of continuous time dynamic systems with exogenous variables using panel data

Hamerle, Alfred, Singer, Hermann and Nagl, Willi (1993) Identification and estimation of continuous time dynamic systems with exogenous variables using panel data. Econometric Theory 9, pp. 283-295.

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Abstract

This paper deals with the identification and maximum likelihood estimation of the parameters of a stochastic differential equation from discrete time sampling. Score function and maximum likelihood equations are derived explicitly. The stochastic differential equation system is extended to allow for random effects and the analysis of panel data. In addition, we investigate the identifiability of the continuous time parameters, in particular the impact of the inclusion of exogenous variables.


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Item type:Article
Date:1993
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle)
Identification Number:
ValueType
10.1017/S0266466600007544DOI
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Unknown
Created at the University of Regensburg:Unknown
Item ID:27224
Owner only: item control page

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