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Discrete Models for Estimating General Linear Continuous Time Systems

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  • Chambers, Marcus J.

Abstract

This paper derives discrete models for estimating systems of both first- and second-order linear differential equations in which derivatives of the exogenous variables appear in addition to their levels.

Suggested Citation

  • 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.
  • Handle: RePEc:cup:etheor:v:7:y:1991:i:04:p:531-542_00
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    Cited by:

    1. 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.
    2. Roderick McCrorie, J., 2001. "Interpolating exogenous variables in continuous time dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1399-1427, September.
    3. Byers, S. L. & Nowman, K. B., 1998. "Forecasting U.K. and U.S. interest rates using continuous time term structure models," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 191-206.

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