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

Theodore Simos ()

Econometric Theory, 1996, vol. 12, issue 02, pages 361-373

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.

Date: 1996

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:12:y:1996:i:02:p:361-373_00

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