The Estimation of Some Continuous Time Models
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
- Fasen, Vicky & Fuchs, Florian, 2013. "On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 229-273.
- Phillips, Peter C B, 1988. "Regression Theory for Near-Integrated Time Series," Econometrica, Econometric Society, vol. 56(5), pages 1021-1043, September.
- Eric Ghysels & J. Isaac Miller, 2014.
"On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests,"
Advances in Econometrics, in: Yoosoon Chang & Thomas B. Fomby & Joon Y. Park (ed.),Essays in Honor of Peter C. B. Phillips, volume 33, pages 93-122,
Emerald Publishing Ltd.
- Eric Ghysels & J. Isaac Miller, 2014. "On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests," Working Papers 1403, Department of Economics, University of Missouri.
- 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.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
- Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010. "Regression models with mixed sampling frequencies," Journal of Econometrics, Elsevier, vol. 158(2), pages 246-261, October.
- Hansen, Lars Peter & Sargent, Thomas J, 1983.
"The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities,"
Econometrica, Econometric Society, vol. 51(2), pages 377-387, March.
- Lars Peter Hansen & Thomas J. Sargent, 1981. "The dimensionality of the aliasing problem in models with rational spectral densities," Staff Report 72, Federal Reserve Bank of Minneapolis.
- Yu, Jun, 2014. "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillipsâ€™S Work And Some New Results," Econometric Theory, Cambridge University Press, vol. 30(4), pages 737-774, August.
- Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series 520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter PhillipsÃ¢â‚¬â„¢ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
- Fasen, Vicky, 2013. "Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration," Journal of Econometrics, Elsevier, vol. 172(2), pages 325-337.
- Lars Peter Hansen & Thomas J. Sargent, 1980. "Methods for estimating continuous time Rational Expectations models from discrete time data," Staff Report 59, Federal Reserve Bank of Minneapolis.
- Lars Peter Hansen & Thomas J. Sargent, 1980. "Rational expectations models and the aliasing phenomenon," Staff Report 60, Federal Reserve Bank of Minneapolis.
- 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.
- Robinson, Peter, 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.
- Yu, Jun, 2014.
"Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillipsâ€™S Work And Some New Results,"
Econometric Theory, Cambridge University Press, vol. 30(4), pages 737-774, August.
- Jun YU, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers 21-2009, Singapore Management University, School of Economics.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:emetrp:v:42:y:1974:i:5:p:803-23. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery). General contact details of provider: http://edirc.repec.org/data/essssea.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.