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Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data
Journal of Time Series Analysis ( IF 0.9 ) Pub Date : 2019-12-20 , DOI: 10.1111/jtsa.12503
Milena Hoyos 1
Affiliation  

This article derives the exact discrete representation corresponding to a cointegrated system of mixed first‐ and second‐order stochastic differential equations with mixed stock and flow data and observable stochastic trends. We provide some formulae to implement the Gaussian estimation and conduct a Monte Carlo experiment to examine the finite sample properties of the Gaussian estimator. We also compare the properties of the estimator based on the exact discrete representation to that based on misspecified discrete models. Results show that the use of the exact discrete representation for estimation purposes produces considerable reductions in the root mean square error of the estimate for most of the parameters.

中文翻译:

具有混合存量和流量数据的混合一阶和二阶协整连续时间模型

本文推导出与混合一阶和二阶随机微分方程的协整系统对应的精确离散表示,该系统具有混合的存量和流量数据以及可观察的随机趋势。我们提供了一些公式来实现高斯估计并进行蒙特卡罗实验来检查高斯估计器的有限样本特性。我们还比较了基于精确离散表示的估计器的属性与基于错误指定的离散模型的估计器的属性。结果表明,将精确离散表示用于估计目的会显着减少大多数参数的估计均方根误差。
更新日期:2019-12-20
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