Estimation of parameters in the drift and diffusion terms of stochastic differential equations involves simulation and generally requires substantial data sets. We examine a method that can be applied when available time series are limited to less than 20 observations per replication. We compare and contrast parameter estimation for linear and nonlinear firstorder stochastic differential equati...

One of the most important problems in spatial econometrics is the computation of the log of the Jacobian of variable transformations in models with spatial interactions. The computation is necessary in ML estimation and Bayesian analysis of models with spatial dependence (Smirnov and Anselin 2009). The effectiveness of the implementation of ML depends on computing effectiveness of the log-deter...