Computing estimates of continuous time macroeconometric models on the basis of discrete data
Computational Statistics & Data Analysis
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The exact Gaussian estimation of complicated higher order continuoustime econometric models from discrete stock and flow data has only recentlybeen feasible given recent advances in computing processing power. In thispaper we estimate a second order continuous time macroeconomic model of theUnited Kingdom developed by Bergstrom, Nowman and Wymer (1992) recently. Themodel is extended to include segmented time trends and estimated usingrecently developed exact Gaussian estimation methods for continuous timeeconometric models.