The Likelihood of a Continuous-Time Vector Autoegressive Model
24 Pages Posted: 2 Dec 2000
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: Suggested Citation
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