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Estimating Continuous-Time Models On The Basis Of Discrete Data Via An Exact Discrete Analog


  • McCrorie, J. Roderick


This paper offers a perspective on A.R. Bergstrom’s contribution to continuous-time modeling, focusing on his preferred method of estimating the parameters of a structural continuous-time model using an exact discrete-time analog. Some inherent difficulties in this approach are discussed, which help to explain why, in spite of his prescience, the methods around his time were not universally adopted as he had hoped. Even so, it is argued that Bergstrom’s contribution and legacy is secure and retains some relevance today for the analysis of macroeconomic and financial time series.

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  • McCrorie, J. Roderick, 2009. "Estimating Continuous-Time Models On The Basis Of Discrete Data Via An Exact Discrete Analog," Econometric Theory, Cambridge University Press, vol. 25(04), pages 1120-1137, August.
  • Handle: RePEc:cup:etheor:v:25:y:2009:i:04:p:1120-1137_09

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    References listed on IDEAS

    1. Hillier, Grant H., 1987. "Classes of Similar Regions and Their Power Properties for Some Econometric Testing Problems," Econometric Theory, Cambridge University Press, vol. 3(01), pages 1-44, February.
    2. Kleibergen, Frank, 2007. "Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics," Journal of Econometrics, Elsevier, vol. 139(1), pages 181-216, July.
    3. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, July.
    4. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.
    5. Trevor S. Breusch, 1986. "Hypothesis Testing in Unidentified Models," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 635-651.
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    Cited by:

    1. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    2. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
    3. Matteo Formenti, 2014. "Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence," Papers 1409.4890,

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