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

B-Tier
Journal: Econometric Theory
Year: 1996
Volume: 12
Issue: 2
Pages: 361-373

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:12:y:1996:i:02:p:361-373_00
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29