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The Estimation of Some Continuous Time Models

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Author Info
Phillips, P C B

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 42 (1974)
Issue (Month): 5 (September)
Pages: 803-23
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Handle: RePEc:ecm:emetrp:v:42:y:1974:i:5:p:803-23

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  1. 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!]
  2. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis. [Downloadable!]
  3. Lars Peter Hansen & Thomas J. Sargent, 1980. "Rational expectations models and the aliasing phenomenon," Staff Report 60, Federal Reserve Bank of Minneapolis. [Downloadable!]
  4. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO. [Downloadable!]
  5. Lars Peter Hansen & Thomas J. Sargent, 1981. "The dimensionality of the aliasing problem in models with rational spectral densities," Staff Report 72, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  6. Peter C.B. Phillips, 1986. "Regression Theory for Near-Integrated Time Series," Cowles Foundation Discussion Papers 781R, Cowles Foundation, Yale University, revised Jan 1987. [Downloadable!]
    Other versions:
  7. Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series /2007/520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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