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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.Date of publication of this fulltext: 10 Jan 2013 12:53
Article
DOI to cite this document: 10.5283/epub.27224
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 | ||||
| Journal or Publication Title | Econometric Theory | ||||
| Publisher: | Cambridge University Press | ||||
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| Open Access Type: | Transfer of rights -1994 | ||||
| Volume: | 9 | ||||
| Page Range: | pp. 283-295 | ||||
| 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 |
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| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Unknown | ||||
| Created at the University of Regensburg | Unknown | ||||
| URN of the UB Regensburg | urn:nbn:de:bvb:355-epub-272246 | ||||
| Item ID | 27224 |
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