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Identification and Estimation of Continuous Time Dynamic Systems With Exogenous Variables Using Panel Data

Published online by Cambridge University Press:  11 February 2009

Alfred Hamerle ,
Hermann Singer  and
Willi Nagl
Alfred Hamerle
Affiliation:
University of Regensburg
Hermann Singer
Affiliation:
University of Regensburg
Willi Nagl
Affiliation:
University of Konstanz
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Abstract

This paper deals with the identification and maximum likelihood estimation of the parameters of a stochastic differential equation from discrete time sampling. Score function and maximum likelihood equations are derived explicitly. The stochastic differential equation system is extended to allow for random effects and the analysis of panel data. In addition, we investigate the identifiability of the continuous time parameters, in particular the impact of the inclusion of exogenous variables.

Type
Miscellanea
Information
Econometric Theory , Volume 9 , Issue 2 , April 1993 , pp. 283 - 295
Copyright
Copyright © Cambridge University Press 1993

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