Statistical Inference in Continuous Time Economic Models
Author | : Albert Rex Bergstrom |
Publisher | : North-Holland |
Total Pages | : 352 |
Release | : 1976 |
ISBN-10 | : UCAL:B5597088 |
ISBN-13 | : |
Rating | : 4/5 (88 Downloads) |
Book excerpt: Non-recursive models as discrete approximations to systems of stochastic differential equations; Some discrete approximations to continuous time stochastic models; Econometric estimation of stochastic differential equation systems; The structural estimation of a stochastic differnetial equation system; The problem of identification in finite parameter continuous time models; The estimation of linear stochastic differnetial equations with exogenous variables; Some computations based on observed data series of the exogenous variable component in continuous systems; Fourier estimation of continuous time models; A model of disequilibrium neoclassical growth and its applications to the United Kingdom.