Abstract

Bergstrom (1983, 1985, 1986) developed a method for obtaining Gaussian estimates of higher order continuous time models. While he does not use a state space approach, but a vector ARMA representation, his estimators are theoretically identical to those developed by Harvey and Stock (1985) and employed here. (As already noted in Section 11.1, vector ARMA models and state space models are different parametrizations of the same class of models). We can therefore directly use Bergstrom’s results on the asymptotic properties of his estimators.KeywordsExogenous VariableContinuous Time ModelEstimate Covariance MatrixAsymptotic Standard ErrorState Space ApproachThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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