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The construction and estimation of continuous time models and discrete approximations in econometrics

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  • Robinson, Peter M.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 6 (1977)
    Issue (Month): 2 (September)
    Pages: 173-197

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    Handle: RePEc:eee:econom:v:6:y:1977:i:2:p:173-197

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

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    Cited by:
    1. Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.
    2. 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.
    3. Peter M Robinson, 2005. "Modelling Memory of Economic and Financial Time Series," STICERD - Econometrics Paper Series /2005/487, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Koo, Bonsoo & Linton, Oliver, 2012. "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, vol. 170(1), pages 210-233.
    5. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
    6. 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.
    7. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
    8. Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper 104, Tor Vergata University, CEIS.
    9. Chambers, Marcus J., 1998. "The estimation of systems of joint differential-difference equations," Journal of Econometrics, Elsevier, vol. 85(1), pages 1-31, July.
    10. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," University of California at Los Angeles, Anderson Graduate School of Management qt9mf223rs, Anderson Graduate School of Management, UCLA.

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