DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
推导了混合存量与流量变量及可观测随机趋势的三角协整连续时间系统的精确离散时间表示，该表示避免了过度差分问题，可用于研究参数估计量的渐近抽样性质，并提供了高斯估计的实现方法。
This paper derives an exact discrete time representation corresponding to a triangular cointegrated continuous time system with mixed stock and flow variables and observable stochastic trends. The discrete time model inherits the triangular structure of the underlying continuous time system and does not suffer from the apparent excess differencing that has been found in some related work. It can therefore serve as a basis for the study of the asymptotic sampling properties of estimators of the model's parameters. Some further analytical and computational results that enable Gaussian estimation to be implemented are also provided.