The Estimation of Parameters in Nonstationary Higher Order Continuous-Time Dynamic Models

Albert Bergstrom

Econometric Theory, 1985, vol. 1, issue 3, 369-385

Abstract: This paper is concerned with derivation of a new efficient algorithm for computing the exact Gaussian likelihood for structural parameters in nonstationary higher-order continuous-time dynamic models and with its application in the estimation of these parameters. The algorithm completely avoids the computation of the covariance matrix of the observations and is applicable to a system of any order with mixed stock and flow data. It is used as the basis for an iterative procedure in which the structural parameters and the initial state vector are estimated alternately.

Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:1:y:1985:i:03:p:369-385_01

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