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Discrete time representation of stationary and non-stationary continuous time systems

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  • Chambers, Marcus J.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 23 (1999)
Issue (Month): 4 (February)
Pages: 619-639

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Handle: RePEc:eee:dyncon:v:23:y:1999:i:4:p:619-639

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Web page: http://www.elsevier.com/locate/jedc

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References

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  1. Simos, Theodore, 1996. "Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends," Econometric Theory, Cambridge University Press, vol. 12(02), pages 361-373, June.
  2. Peter C.B. Phillips, 1988. "Error Correction and Long Run Equilibrium in Continuous Time," Cowles Foundation Discussion Papers 882R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  3. Harvey, A. C. & Stock, James H., 1985. "The Estimation of Higher-Order Continuous Time Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 1(01), pages 97-117, April.
  4. Bergstrom, Albert Rex, 1983. "Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models," Econometrica, Econometric Society, vol. 51(1), pages 117-52, January.
  5. Robinson, Peter M., 1977. "The construction and estimation of continuous time models and discrete approximations in econometrics," Journal of Econometrics, Elsevier, vol. 6(2), pages 173-197, September.
  6. Bergstrom, A. R., 1986. "The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data," Econometric Theory, Cambridge University Press, vol. 2(03), pages 350-373, December.
  7. Bergstrom, A.R., 1984. "Continuous time stochastic models and issues of aggregation over time," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 20, pages 1145-1212 Elsevier.
  8. Bergstrom, A. R. & Nowman, K. B. & Wandasiewicz, S., 1994. "Monetary and fiscal policy in a second-order continuous time macroeconometric model of the United Kingdom," Journal of Economic Dynamics and Control, Elsevier, vol. 18(3-4), pages 731-761.
  9. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  10. Zadrozny, Peter, 1988. "Gaussian Likelihood of Continuous-Time ARMAX Models When Data Are Stocks and Flows at Different Frequencies," Econometric Theory, Cambridge University Press, vol. 4(01), pages 108-124, April.
  11. Bergstrom, A.R., 1987. "Optimal control in wide-sense stationary continuous-time stochastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 11(3), pages 425-443, September.
  12. A.R. Bergstrom, . "Gaussian Estimation of Mixed Order Continuous Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data," Economics Discussion Papers 448, University of Essex, Department of Economics.
  13. J R McCrorie, 1997. "Deriving the Exact Discrete Analog of a Continuous Time System," STICERD - Econometrics Paper Series /1997/343, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  14. Marcus J. Chambers, . "Gaussian estimation of temporally aggregated cointegrated systems," Economics Discussion Papers 476, University of Essex, Department of Economics.
  15. Harvey, A. C. & Stock, James H., 1988. "Continuous time autoregressive models with common stochastic trends," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 365-384.
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Citations

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Cited by:
  1. Arie ten Cate, 2004. "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper 41, CPB Netherlands Bureau for Economic Policy Analysis.
  2. Jewitt, Giles & Roderick McCrorie, J., 2005. "Computing estimates of continuous time macroeconometric models on the basis of discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 397-416, April.
  3. J. McCrorie, 2002. "The Likelihood of the Parameters of a Continuous Time Vector Autoregressive Model," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 273-286, October.
  4. Marcus J. Chambers, 2011. "Cointegration and sampling frequency," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 156-185, 07.
  5. Tilak Abeysinghe & Gulasekaran Rajaguru, 2004. "Temporal aggregation, causality distortions and a sign rule," Econometric Society 2004 Australasian Meetings 73, Econometric Society.
  6. J. Roderick McCrorie, 2000. "The Likelihood of a Continuous-time Vector Autoregressive Model," Working Papers 419, Queen Mary, University of London, School of Economics and Finance.

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