Singer, Hermann (1998) Continuous panel models with time dependent parameters. JOURNAL OF MATHEMATICAL SOCIOLOGY, 23 (2). pp. 77-98. ISSN 0022-250X
Full text not available from this repository.Abstract
Panel data are modeled as dynamic structural equations in continuous time t (stochastic differential equations). The continuously moving latent state vector y(t) is mapped to an observable discrete time series (or panel) z(ni)=z(n)(t(i)) with the help of a measurement equation including errors of measurement (continuous-discrete state space model). Therefore the approach is able to handle data with irregularly observed waves, missing values and arbitrarily interpolated exogenous influences (control variables). In order to model development and growth models, the system parameter matrices are assumed to be time dependent. It is shown how the likelihood function can be computed in this general linear setting by using a Kalman filter algorithm. The estimation method is tested in a simulation study using a bivariate growth model and applied to the Brownian bridge.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | STOCHASTIC DIFFERENTIAL-EQUATIONS; IDENTIFICATION; VARIABLES; OPTIONS; SYSTEMS; panel data; stochastic differential equations; continuous-discrete state space model; time dependent parameters; Kalman filter; growth models |
| Subjects: | 300 Social sciences > 330 Economics 500 Science > 510 Mathematics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 28 Feb 2023 11:20 |
| Last Modified: | 28 Feb 2023 11:20 |
| URI: | https://pred.uni-regensburg.de/id/eprint/50245 |
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