The Likelihood of a Continuous-Time Vector Autoegressive Model

24 Pages Posted: 2 Dec 2000

See all articles by Roderick McCrorie

Roderick McCrorie

University of London - School of Economics and Finance

Date Written: October 2000

Abstract

This paper provides a method that weakens conditions under which the exact likelihood of a continuous-time vector autoregressive model can be derived. In particular, the method does not require the restrictions extant methods impose on discrete data that limit the applicability of continuous-time methods to real economic time series. The method applies generally to higher-order continuous-time systems involving mixed stock and flow data.

Key words: Continuous-time; vector autoregression; exact likelihood; time series

JEL Classification: C32

Suggested Citation

McCrorie, Roderick, The Likelihood of a Continuous-Time Vector Autoegressive Model (October 2000). Available at SSRN: https://ssrn.com/abstract=246309 or http://dx.doi.org/10.2139/ssrn.246309

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