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Econometric Estimation of Stochastic Differential Equation Systems
C. R. Wymer
Vol. 40, No. 3 (May, 1972), pp. 565-577
Published by: The Econometric Society
Stable URL: http://www.jstor.org/stable/1913185
Page Count: 13
You can always find the topics here!Topics: Matrices, Approximation, Eigenvalues, Economic models, Statistical variance, Differential equations, Coefficients, Economic modeling, Estimation bias, Econometrics
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An exact discrete model is derived from a recursive model consisting of a set of rth order stochastic linear differential equations with constant coefficients such that observations generated at equidistant points of time by the differential system satisfy the discrete model irrespective of the length of sampling interval. The difficulty of estimating the exact model subject to a priori restrictions makes it necessary to approximate the differential system by a non-recursive discrete model that maintains the structural form. This discrete model has a moving average disturbance term of order r - 1, but the co-variance function of this process is approximated by a function that is independent of the parameters of the continuous model. The eigenvalues and eigenvectors of the approximations to the differential system as well as their asymptotic variance matrices are also derived but, like the approximate asymptotic variance matrices of the parameter estimates, these variances are about biased probability limit
Econometrica © 1972 The Econometric Society