Computing estimates of continuous time macroeconometric models on the basis of discrete data
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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, 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.
- 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.
- 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.
- 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.
- Chambers, M.J. & McCrorie, J.R., 2004. "Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals," Discussion Paper 2004-38, Tilburg University, Center for Economic Research.
- 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.
- Bergstrom, A.R., 1997. "Gaussian Estimation of Mixed-Order Continuous-Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data," Econometric Theory, Cambridge University Press, vol. 13(04), pages 467-505, August.
- 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.
- 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.
- Phillips, P C B, 1972. "The Structural Estimation of a Stochastic Differential Equation System," Econometrica, Econometric Society, vol. 40(6), pages 1021-41, 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.
When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:49:y:2005:i:2:p:397-416. 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: (Zhang, Lei)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.