Stochastic differential equations (SDE) are used as dynamical models forcross sectional discrete time measurements (panel data). Thus causal effectsare formulated on a fundamental infinitesimal time scale. Cumulated causaleffects over the measurement interval can be expressed in terms of the...

Linear stochastic dierential equations (SDE) are expressed as an exactdiscrete model (EDM) and estimated with structural equation models(SEM) and the Kalman lter (KF) algorithm. The SEM likelihood is welldened even for the times series case and the SEM and KF approach yieldthe same likelihood....

The conditional Gauss-Hermite filter(CGHF) utilizes a decomposition of the filter density p(y1,y2) into the product of the conditional density p(y1Iy2) with the P(y2) where the state vector y is partitioned into (y1,y2). In contrast the usual Gauss-Hermite filter (GHF) it is assumed that the...