HAMERLE, A and SINGER, H and NAGL, W (1993) IDENTIFICATION AND ESTIMATION OF CONTINUOUS-TIME DYNAMIC-SYSTEMS WITH EXOGENOUS VARIABLES USING PANEL-DATA. ECONOMETRIC THEORY, 9 (2). pp. 283-295. ISSN 0266-4666,
Full text not available from this repository.Abstract
This paper deals with the identification and maximum likelihood estimation of the parameters of a stochastic differential equation from discrete time sampling. Score function and maximum likelihood equations are derived explicitly. The stochastic differential equation system is extended to allow for random effects and the analysis of panel data. In addition, we investigate the identifiability of the continuous time parameters, in particular the impact of the inclusion of exogenous variables.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | DIFFERENTIAL EQUATIONS; MODELS; |
| Depositing User: | Dr. Gernot Deinzer |
| Last Modified: | 19 Oct 2022 08:42 |
| URI: | https://pred.uni-regensburg.de/id/eprint/53930 |
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