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Stochastic difference equations with non-integral differences

By Peter Robinson

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

Topics: HA Statistics, HB Economic Theory, QA Mathematics
Publisher: Applied Probability Trust
Year: 1974
OAI identifier: oai:eprints.lse.ac.uk:1403
Provided by: LSE Research Online
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