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THE EFFECTS OF DIFFERENCING ON THE GAUSSIAN LIKELIHOOD OF MODELS WITH UNOBSERVABLE STOCHASTIC TRENDS: A SIMPLE EXAMPLE

Published online by Cambridge University Press:  01 August 2009

A.R. Bergstrom
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Type
BERGSTROM NOTES
Information
Econometric Theory , Volume 25 , Issue 4: Bergstrom Memorial Dedication Issue , August 2009 , pp. 903 - 913
Copyright
Copyright © Cambridge University Press 2009

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References

REFERENCE

Bergstrom, A.R. (1997) Gaussian estimation of mixed-order continuous-time dynamic models with unobservable stochastic trends from mixed stock and flow data. Econometric Theory 13, 467–505.CrossRefGoogle Scholar