Advanced Search
MyIDEAS: Login to save this article or follow this journal

Deriving The Exact Discrete Analog Of A Continuous Time System

Contents:

Author Info

  • McCrorie, J. Roderick
Registered author(s):

    Abstract

    The exact discrete model satisfied by equispaced data generated by a linear stochastic differential equations system is derived by a method that does not imply restrictions on observed discrete data per se. The method involves integrating the solution of the continuous time model in state space form and a nonstandard change in the order of three types of integration, facilitating the representation of the exact discrete model as an asymptotically time-invariant vector autoregressive moving average model. The method applying to the state space form is general and is illustrated using the prototypical higher order model for mixed stock and flow data discussed by Bergstrom (1986, Econometric Theory 2, 350 373).

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://journals.cambridge.org/abstract_S0266466600166071
    File Function: link to article abstract page
    Download Restriction: no

    Bibliographic Info

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 16 (2000)
    Issue (Month): 06 (December)
    Pages: 998-1015

    as in new window
    Handle: RePEc:cup:etheor:v:16:y:2000:i:06:p:998-1015_16

    Contact details of provider:
    Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
    Fax: +44 (0)1223 325150
    Web page: http://journals.cambridge.org/jid_ECTProvider-Email:journals@cambridge.org

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Marcus J. Chambers, 2011. "Cointegration and sampling frequency," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 156-185, 07.
    2. McCrorie, J.R. & Chambers, M.J., 2004. "Granger Causality and the Sampling of Economic Processes," Discussion Paper 2004-39, Tilburg University, Center for Economic Research.
    3. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
    4. Roderick McCrorie, J., 2001. "Interpolating exogenous variables in continuous time dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1399-1427, September.
    5. Jewitt, Giles & Roderick McCrorie, J., 2005. "Computing estimates of continuous time macroeconometric models on the basis of discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 397-416, April.
    6. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," University of California at Los Angeles, Anderson Graduate School of Management qt9mf223rs, Anderson Graduate School of Management, UCLA.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:16:y:2000:i:06:p:998-1015_16. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.