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The Likelihood of a Continuous-time Vector Autoregressive Model

  • Economics
  • Mathematics


This paper provides a method that weakens conditions under which the exact likelihood of a continuous-time vector autoregressive model can be derived. In particular, the method does not require the restrictions extant methods impose on discrete data that limit the applicability of continuous-time methods to real economic time series. The method applies generally to higher-order continuous-time systems involving mixed stock and flow data.

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