29
Views
32
CrossRef citations to date
0
Altmetric
Original Articles

Problems with the estimation of stochastic differential equations using structural equations models

, &
Pages 201-220 | Received 14 Nov 1990, Published online: 26 Aug 2010

References

  • Arminger , G. 1986 . “ Linear stochastic differential equation models for panel data with unobserved variables ” . In Sociological Methodology Edited by: Tuma , N. B. 187 – 212 . Washington, DC
  • Arnold , L. 1974 . Stochastic differential equations New York
  • Bergstrom , A. R. 1984 . “ Continuous Time Stochastic Models and Issues of Aggregation over Time ” . In Handbook of Econometrics Edited by: Griliches , Z. and Intriligator , M. D. Amsterdam
  • Bien , W. , Schmidt , P. and Schürhoff , R. 1990 . Strukturgleichungsmodelle für Paneldaten und die Schätzung von Differentialgleichungsmodellen, preprint , Universität Gießen .
  • Coddington , E. A. and Levinson , N. 1955 . Theory of ordinary differential equations New York
  • Coleman , J. S. 1968 . “ The mathematical study of change ” . In Methodology in Social Research Edited by: Blalock , H. M. and Blalock , A. 428 – 478 . New York
  • Davis , M. H. A. 1977 . Linear estimation and stochastic control Londoa
  • Doreian , P. and Hummon , N. P. 1976 . Modeling social processes Amsterdam
  • Doreian , P. and Hummon , N. P. 1979 . Estimating differential equation models on time series data: Some simulation evidence . Sociological Methods and Research , 8 : 3 – 33 .
  • Gandolfo , G. 1981 . Qualitative analysis and econometric estimation of continuous time dynamic models Amsterdam
  • Gelfand , I. M. and Wilenkin , N. J. 1964 . Verallgemeinerte Funktionen Vol. 4 , Berlin
  • Hamerle , A. , Nagl , W. and Singer , H. 1991 . “ Parameter estimation in continuous time dynamic systems using panel data, to appear in Econometric Theory ” .
  • Hansen , L. P. and Sargent , T. J. 1983 . The dimensionality of the aliasing problem in models with rational spectral densities . Econometrica , 51 : 377 – 387 .
  • Hauptmann , H. and Schmidt , E. 1980 . “ Spezifikations‐und Schätzprobleme bei dynamischen Systemen ” . In Anwendungen der Systemtheorie und Kybernetik in Wirtschaft und Verwaltung Edited by: Hauptmann , H. and Schenk , K. E. 152 – 168 . Berlin
  • Hsiao , C. 1986 . Analysis of panel data Cambridge
  • Jones , R. H. 1984 . “ Fitting multivariate models to unequally spaced data ” . In Time series analysis of irregularly observed data Edited by: Parzen , E. 158 – 188 . New York
  • Kalbfleisch , J. D. and Lawless , J. F. 1985 . The analysis of panel data under a Markov assumption . Journal of the American Statistical Association , 80 : 863 – 871 .
  • LeBreton , A. 1976 . On continuous and discrete sampling for parameter estimation in diffusion type processes . Mathematical Programming Study , 5 : 124 – 144 .
  • Möbus , G. and Nagl , W. 1983 . “ Messung, Analyse und Prognose von Veränderungen ” . In Hypothesenprüfung, Band 5 der Serie Forschungsmethoden der Psychologie der Enzyklopädie der Psychologie Göttingen
  • Nelson , E. 1967 . Dynamical theories of Brownian motion Princeton
  • Nielsen , F. and Rosenfeld , R. A. 1981 . Substantive interpretations of differential equations models . American Sociological Review , 46 : 159 – 174 .
  • Phillips , P. C. B. 1972 . The structural estimation of a stochastic differential equation system . Econometrica , 40 : 1021 – 1041 .
  • Phillips , P. C.B. 1973 . The problem of identification in finite parameter continuous time models . Journal of Econometrics , 1 : 351 – 362 .
  • Rothenberg , T. J. 1971 . Identification in parametric models . Econometrica , 39 (3) : 577 – 591 .
  • SAS Institute Ina . 1989 . “ SAS/IML Software: Usage and reference ” . Cary, NC Version 6
  • Schuss , Z. 1980 . Theory and applications of stochastic differential equations New York
  • Singer , H. and Hautzinger , M. 1988 . “ Kausalattributionen, Depressivität und kritische Lebensereignisse als stochastischer Proze ” . In Kognitive Depressionsforschung Edited by: Kammer , D. and Hautzinger , M. Bern
  • Singer , H. 1990a . Parameterschätzung in zeitkontinuierlichen dynamischen Systemen , Konstanz : Hartung‐Gorre Verlag .
  • Singer , H. 1990b . “ Continuous time dynamical systems with sampled data, errors of measurement and unobserved components, submitted to Technometrics ” .
  • Singer , B. and Spilerman , S. 1976 . Representation of social processes by Markov models . American Journal of Sociology , 82 : 1 – 53 .
  • Tuma , N. B. and Hannan , M. T. 1984 . Social dynamics New York

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.