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

Published online by Cambridge University Press:  11 February 2009

Theodore Simos
Theodore Simos
Affiliation:
Université Catholique de Louvain
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Abstract

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.

Information

Type
Research Article
Information
Econometric Theory , Volume 12 , Issue 2 , June 1996, pp. 361 - 373
Copyright
Copyright © Cambridge University Press 1996

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References

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