Estimation of cointegrated systems in continuous time
In this thesis we derive exact discrete time representation models that correspond to cointegrated systems in continuous time. At the same time, for the parameters of those models, estimation procedures are outlined. The representations are applicable for data observed as both stock or flow variable...
| Main Author: | |
|---|---|
| Published: |
University of Essex
2017
|
| Subjects: | |
| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.732627 |