Continuous-time modelling in econometrics and engineering - juli 2002
AbstractThis paper discusses a widely used discrete-time analog of dynamic continuous-time models. This analog can not be used for the estimation of models with fast adaption to shocks. This has been overlooked in the econometric literature. In the engineering literature this same analogon is defined, using other names and other notation. Here warnings can be found against the estimation of fast models. The engineering literature is ignored in the econometric literature.
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Bibliographic InfoPaper provided by CPB Netherlands Bureau for Economic Policy Analysis in its series CPB Memorandum with number 42.
Date of creation: Jul 2002
Date of revision:
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-21 (All new papers)
- NEP-ECM-2002-07-21 (Econometrics)
- NEP-ETS-2002-07-21 (Econometric Time Series)
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- 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.
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