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A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends
This paper describes the formulation, analysis, and estimation of a new continuous time macroeconometric model of the United Kingdom. The model differs from earlier continuous time macroeconometric models in that it incorporates unobservable stochastic trends to represent such variables as technical progress. The estimation of its parameters is the first application of the algorithm of Bergstrom (1997, Econometric Theory 13, 467-505) for the Gaussian estimation of continuous time dynamic modelsdoi:10.1017/cbo9780511664687 fatcat:amysbmpbdrgijnorqbnhieugru