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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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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4582FPC-3/2/0c2a1bb9cddd44ced1ac315f5046e95b
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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. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
    2. 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.
    3. Chambers, Marcus J., 1998. "The estimation of systems of joint differential-difference equations," Journal of Econometrics, Elsevier, vol. 85(1), pages 1-31, July.
    4. 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.
    5. Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper 104, Tor Vergata University, CEIS.
    6. 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.
    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. 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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