DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
复制标题
混合样本数据协整连续时间模型的离散时间表示
DOI：
10.1017/s0266466608090397
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发表时间：
2009
影响因子：
0.8
通讯作者：
Marcus J. Chambers
中科院分区：
文献类型：
--
作者：
Marcus J. Chambers
针对具有混合库存和流量变量且具有可观测随机趋势的三角协整连续时间系统，给出了其精确的离散时间表示。离散时间模型继承了基本的连续时间系统的三角结构，并且没有在一些相关工作中发现的明显的超差。因此，它可以作为研究模型参数估计量的渐近抽样性质的基础。文中还给出了实现高斯估计的一些进一步的分析和计算结果。
This paper derives an exact discrete time representation corresponding to a triangular cointegrated continuous time system with mixed stock and flow variables and observable stochastic trends. The discrete time model inherits the triangular structure of the underlying continuous time system and does not suffer from the apparent excess differencing that has been found in some related work. It can therefore serve as a basis for the study of the asymptotic sampling properties of estimators of the model's parameters. Some further analytical and computational results that enable Gaussian estimation to be implemented are also provided.