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Interpolating exogenous variables in continuous time dynamic models

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  • Roderick McCrorie, J.
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 25 (2001)
    Issue (Month): 9 (September)
    Pages: 1399-1427

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    Handle: RePEc:eee:dyncon:v:25:y:2001:i:9:p:1399-1427

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    1. 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.
    2. Bergstrom, A.R., 1997. "Gaussian Estimation of Mixed-Order Continuous-Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data," Econometric Theory, Cambridge University Press, vol. 13(04), pages 467-505, August.
    3. Phillips, P C B, 1974. "The Estimation of Some Continuous Time Models," Econometrica, Econometric Society, vol. 42(5), pages 803-23, September.
    4. 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.
    5. Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-80, July.
    6. McCrorie, J. Roderick, 2000. "Deriving The Exact Discrete Analog Of A Continuous Time System," Econometric Theory, Cambridge University Press, vol. 16(06), pages 998-1015, December.
    7. Robinson, Peter M., 1992. "Continuous Time Econometric Modelling A.R. Bergstrom Oxford University Press, 1991," Econometric Theory, Cambridge University Press, vol. 8(04), pages 571-579, December.
    8. Chambers, Marcus J., 1991. "Discrete Models for Estimating General Linear Continuous Time Systems," Econometric Theory, Cambridge University Press, vol. 7(04), pages 531-542, December.
    9. 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.
    10. 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.
    11. Nowman, K. Ben, 1991. "Open Higher Order Continuous-Time Dynamic Model with Mixed Stock and Flow Data and Derivatives of Exogenous Variables," Econometric Theory, Cambridge University Press, vol. 7(03), pages 404-408, September.
    12. 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.
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    Cited by:
    1. 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.

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