连续时间计量经济模型的历史

The History of Continuous-Time Econometric Models

Econometric Theory · 1988
被引 82
人大 A-ABS 4

中文导读

回顾了连续时间计量经济模型的发展历史,指出尽管近十年才被广泛应用,但其统计方法早在40多年前就已开始发展,并介绍了Bartlett等学者的早期贡献。

Abstract

Although it is only during the last decade that continuous-time models have been extensively used in applied econometric work, the development of statistical methods applicable to such models commenced over 40 years ago. The first significant contribution to the problem of estimating the parameters of continuous-time stochastic models from discrete data was made by the British statistician Bartlett [1946] only three years after the pioneering contribution of Haavelmo [1943] on simultaneous equations models. Moreover, by this time the fundamental mathematical theory of continuous-time stochastic models was already well developed, major contributions having been made by some of the leading mathematicians of the twentieth century, including Einstein, Weiner, and Kolmogorov.

连续时间计量经济学模型离散数据估计随机微分方程参数估计