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Deriving The Exact Discrete Analog Of A Continuous Time System

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Author Info
McCrorie, J. Roderick
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).

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File URL: http://journals.cambridge.org/abstract_S0266466600166071
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 16 (2000)
Issue (Month): 06 (December)
Pages: 998-1015
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:16:y:2000:i:06:p:998-1015_16

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  1. Marcus J. Chambers, 2001. "Cointegration and Sampling Frequency," Economics Discussion Papers 531, University of Essex, Department of Economics. [Downloadable!]
  2. McCrorie, J.R. & Chambers, M.J., 2004. "Granger causality and the sampling of economic processes," Discussion Paper 39, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  3. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003. "There is a Risk-Return Tradeoff After All," University of California at Los Angeles, Anderson Graduate School of Management 1155, Anderson Graduate School of Management, UCLA. [Downloadable!]
    Other versions:
  4. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO. [Downloadable!]
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This page was last updated on 2009-11-24.

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