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...

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...