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Analytical Score Function for IrregularlySampled Continuous Time Stochastic Processes withControl Variables and Missing Values

Published online by Cambridge University Press:  11 February 2009

Hermann Singer
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Abstract

The unknown structural parameters of acontinuous/discrete state space model are estimatedby maximum likelihood in the presence of irregularsampling, missing values, and cross-sections of timeseries (panel data). Exogenous (control) variablesare included, and the sampling scheme and missingdata pattern can be different for each variable andsystem. Furthermore, the derived non-linearoptimization algorithm with analytical scorefunction can be used for the discrete time case aswell.

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Type
Research Article
Information
Econometric Theory , Volume 11 , Issue 4 , August 1995 , pp. 721 - 735
Copyright
Copyright © Cambridge University Press 1995

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