Computing estimates of continuous time macroeconometric models on the basis of discrete data
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- Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-36, January.
- A. R. Bergstrom, 2001. "Stability and wage acceleration in macroeconomic models of cyclical growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 327-340.
- Christiano, Lawrence J. & Eichenbaum, Martin, 1987.
"Temporal aggregation and structural inference in macroeconomics,"
Carnegie-Rochester Conference Series on Public Policy,
Elsevier, vol. 26(1), pages 63-130, January.
- Lawrence J. Christiano & Martin Eichenbaum, 1987. "Temporal aggregation and structural inference in macroeconomics," Working Papers 306, Federal Reserve Bank of Minneapolis.
- Lawrence J. Christiano & Martin S. Eichenbaum, 1986. "Temporal Aggregation and Structural Inference in Macroeconomics," NBER Technical Working Papers 0060, National Bureau of Economic Research, Inc.
- Chambers, M.J. & McCrorie, J.R., 2004.
"Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals,"
2004-38, Tilburg University, Center for Economic Research.
- Marcus J. Chambers & J. Roderick McCrorie, 2006. "Identification And Estimation Of Exchange Rate Models With Unobservable Fundamentals," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 573-582, 05.
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- Bergstrom, A.R., 1997.
"Gaussian Estimation of Mixed-Order Continuous-Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data,"
Cambridge University Press, vol. 13(04), pages 467-505, August.
- A.R. Bergstrom, . "Gaussian Estimation of Mixed Order Continuous Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data," Economics Discussion Papers 448, University of Essex, Department of Economics.
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- McCrorie, J. Roderick, 2000. "Deriving The Exact Discrete Analog Of A Continuous Time System," Econometric Theory, Cambridge University Press, vol. 16(06), pages 998-1015, December.
- Nieuwenhuis, Herman J. & Schoonbeek, Lambert, 1997. "Stability and the structure of continuous-time economic models," Economic Modelling, Elsevier, vol. 14(3), pages 311-340, July.
- Harvey, A. C. & Stock, James H., 1989. "Estimating integrated higher-order continuous time autoregressions with an application to money-income causality," Journal of Econometrics, Elsevier, vol. 42(3), pages 319-336, November.
- Bergstrom, A.R., 1984. "Continuous time stochastic models and issues of aggregation over time," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 20, pages 1145-1212 Elsevier.
- Nowman, K B, 1998. "Econometric Estimation of a Continuous Time Macroeconomic Model of the United Kingdom with Segmented Trends," Computational Economics, Society for Computational Economics, vol. 12(3), pages 243-54, December.
- Phillips, P C B, 1972. "The Structural Estimation of a Stochastic Differential Equation System," Econometrica, Econometric Society, vol. 40(6), pages 1021-41, November.
- J. McCrorie, 2002. "The Likelihood of the Parameters of a Continuous Time Vector Autoregressive Model," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 273-286, October.
- 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.
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