The Estimation of Some Continuous Time Models
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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 42 (1974)
Issue (Month): 5 (September)
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- Jun YU, 2009.
"Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results,"
21-2009, Singapore Management University, School of Economics.
- Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Sim Kee Boon Institute for Financial Economics.
- Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
- 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.
- 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.
- 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.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
- Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter PhillipsÃ¢â‚¬â„¢ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
- 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.
- Lars Peter Hansen & Thomas J. Sargent, 1980. "Rational expectations models and the aliasing phenomenon," Staff Report 60, Federal Reserve Bank of Minneapolis.
- 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.
- Phillips, Peter C B, 1988.
"Regression Theory for Near-Integrated Time Series,"
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- Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010.
"Regression models with mixed sampling frequencies,"
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Elsevier, vol. 158(2), pages 246-261, October.
- 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.
- Hansen, Lars Peter & Sargent, Thomas J, 1983.
"The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities,"
Econometric Society, vol. 51(2), pages 377-87, March.
- 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.
- 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.
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