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The Estimation of Some Continuous Time Models

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  • Phillips, P C B

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Bibliographic Info

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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Cited by:
  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.
  2. 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.
  3. Eric Ghysels & J. Isaac Miller, 2014. "On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests," Working Papers 1403, Department of Economics, University of Missouri.
  4. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
  5. Fasen, Vicky & Fuchs, Florian, 2013. "On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 229-273.
  6. Peter C.B. Phillips, 1986. "Regression Theory for Near-Integrated Time Series," Cowles Foundation Discussion Papers 781R, Cowles Foundation for Research in Economics, Yale University, revised Jan 1987.
  7. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
  8. Hansen, Lars Peter & Sargent, Thomas J, 1983. "The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities," Econometrica, Econometric Society, vol. 51(2), pages 377-87, March.
  9. Jun YU, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers 21-2009, Singapore Management University, School of Economics.
  10. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2007. "Regression Models with Mixed Sampling Frequencies," University of Cyprus Working Papers in Economics 8-2007, University of Cyprus Department of Economics.
  11. Peter Robinson, 2007. "On discrete sampling of time-varying continuous-time systems," LSE Research Online Documents on Economics 6795, London School of Economics and Political Science, LSE Library.
  12. Lars Peter Hansen & Thomas J. Sargent, 1980. "Rational expectations models and the aliasing phenomenon," Staff Report 60, Federal Reserve Bank of Minneapolis.
  13. Fasen, Vicky, 2013. "Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration," Journal of Econometrics, Elsevier, vol. 172(2), pages 325-337.
  14. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
  15. 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.

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