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

URN to cite this document:
urn:nbn:de:bvb:355-epub-272246
Hamerle, Alfred ; Singer, Hermann ; Nagl, Willi
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Date of publication of this fulltext: 10 Jan 2013 12:53


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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