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Discrete Approximations to Continuous Time Distributed Lags in Econometrics

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Sims, Christopher A

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 39 (1971)
Issue (Month): 3 (May)
Pages: 545-63
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Handle: RePEc:ecm:emetrp:v:39:y:1971:i:3:p:545-63

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  1. Michael J. Stutzer, 1980. "Chaotic dynamics and bifurcation in a macro model," Staff Report 55, Federal Reserve Bank of Minneapolis. [Downloadable!]
  2. Lars Peter Hansen & Thomas J. Sargent, 1980. "Methods for estimating continuous time Rational Expectations models from discrete time data," Staff Report 59, Federal Reserve Bank of Minneapolis. [Downloadable!]
  3. Lars Peter Hansen & Thomas J. Sargent, 1983. "Identification of continuous time rational expectations models from discrete time data," Staff Report 73, Federal Reserve Bank of Minneapolis. [Downloadable!]
  4. Lawrence J. Christiano & Martin Eichenbaum & David Marshall, 1990. "The permanent income hypothesis revisited," Staff Report 129, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  5. 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. [Downloadable!] (restricted)
    Other versions:
  6. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis. [Downloadable!]
  7. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
    Other versions:
  8. Lars Peter Hansen & Thomas J. Sargent, 1980. "Rational expectations models and the aliasing phenomenon," Staff Report 60, Federal Reserve Bank of Minneapolis. [Downloadable!]
  9. Oliver Linton & Enno Mammen, 2006. "Nonparametric Transformation to White Noise," STICERD - Econometrics Paper Series /2006/503, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    Other versions:
  10. St-Amant, P. & Tessier, D., 1998. "A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions," Working Papers 98-4, Bank of Canada. [Downloadable!]
  11. 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:
  12. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO. [Downloadable!]
  13. Arie ten Cate, 2004. "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Papers 41, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]
  14. Jean-Marie Dufour, 2001. "Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie," CIRANO Working Papers 2001s-40, CIRANO. [Downloadable!]
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  15. Rajaguru GULASEKARAN & Tilak ABEYSINGHE, 2002. "The Distortionary Effects Of Temporal Aggregation On Granger Causality," Departmental Working Papers wp0204, National University of Singapore, Department of Economics. [Downloadable!]
  16. Lawrence J. Christiano, 1986. "Temporal aggregation bias and government policy evaluation," Working Papers 302, Federal Reserve Bank of Minneapolis. [Downloadable!]
  17. Phoebus J. Dhrymes, 1972. "Distributed Lags:A Survey," UCLA Economics Working Papers 024, UCLA Department of Economics. [Downloadable!]
  18. Lawrence J. Christiano, 1980. "The term structure of interest rates and the aliasing identification problem," Working Papers 165, Federal Reserve Bank of Minneapolis. [Downloadable!]
  19. Gary R. Skoog, 1976. "Systematically missing data in econometric models," Staff Report 13, Federal Reserve Bank of Minneapolis. [Downloadable!]
  20. Grant Kirkpatrick, 1982. "Real factor prices and German manufacturing employment: A time series analysis, 1960I–1979IV," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 118(1), pages 79-103, March. [Downloadable!] (restricted)
  21. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  22. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics. [Downloadable!]
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