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Stochastic difference equations with non-integral differences

Robinson, Peter (1974) Stochastic difference equations with non-integral differences. Advances in Applied Probability, 6 (3). pp. 524-545. ISSN 0001-8678

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Abstract

As an alternative to conventional discrete time models for stochastic processes that fluctuate within the sampling interval, we propose difference equations containing non-integral lags. We discuss the problems of stability, identification and estimation, for which an approximate model is needed. Least squaresa pplied to an approximateF ourier-transformedm odel yields estimators of the coefficients that are consistent with respect to the true model under some conditions. The conditions are weak when the model contains predetermined variables that obey an "aliasing condition"; estimators of the lags as well as coefficients can then be found that are consistent, efficient and satisfy a central limit theorem. Optimal estimators for stochastic differencedifferential equations are also available.

Item Type: Article
Official URL: http://www.appliedprobability.org/ap.html
Additional Information: © 1974 Applied Probability Trust
Library of Congress subject classification: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
Sets: Collections > Economists Online
Departments > Economics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 27 Apr 2007
URL: http://eprints.lse.ac.uk/1403/

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