The Likelihood of a Continuous-time Vector Autoregressive Model

J. Roderick McCrorie
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J. Roderick McCrorie: Queen Mary, University of London

No 419, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: This paper provides a method that weakens conditions under which the exact likelihood of a continuous-time vector autoregressive model can be derived. In particular, the method does not require the restrictions extant methods impose on discrete data that limit the applicability of continuous-time methods to real economic time series. The method applies generally to higher-order continuous-time systems involving mixed stock and flow data.

Keywords: Continuous-time; Vector autoregression; Exact likelihood; Time series (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2000-10-01
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:419

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