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The Estimation of Higher-Order Continuous Time Autoregressive Models

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  • Harvey, A. C.
  • Stock, James H.

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Bibliographic Info

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

Volume (Year): 1 (1985)
Issue (Month): 01 (April)
Pages: 97-117

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Handle: RePEc:cup:etheor:v:1:y:1985:i:01:p:97-117_01

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Cited by:
  1. Lawrence J. Christiano & Martin Eichenbaum, 1986. "A continuous time, general equilibrium, inventory-sales model," Working Papers 304, Federal Reserve Bank of Minneapolis.
  2. Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.
  3. Andrew W. Lo, 1986. "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," NBER Technical Working Papers 0059, National Bureau of Economic Research, Inc.
  4. Lars Peter Hansen & Thomas J. Sargent, 1990. "Recursive Linear Models of Dynamic Economies," NBER Working Papers 3479, National Bureau of Economic Research, Inc.
  5. Stock, James H., 1987. "Measuring Business Cycle Time," Scholarly Articles 3425950, Harvard University Department of Economics.
  6. Hermann Singer, 2011. "Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms," AStA Advances in Statistical Analysis, Springer, vol. 95(4), pages 375-413, December.
  7. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
  8. Comte, F., 1998. "Discrete and continuous time cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 207-226, November.
  9. 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.
  10. Tucker S. McElroy & Thomas M. Trimbur, 2007. "Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering," Finance and Economics Discussion Series 2007-68, Board of Governors of the Federal Reserve System (U.S.).

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