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Discrete time representation of stationary and non-stationary continuous time systems

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  • Chambers, Marcus J.

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  • 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.
    • Handle: RePEc:eee:dyncon:v:23:y:1999:i:4:p:619-639
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    1. Harvey, A. C. & Stock, James H., 1988. "Continuous time autoregressive models with common stochastic trends," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 365-384.
    2. 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.
    3. J R McCrorie, 1997. "Deriving the Exact Discrete Analog of a Continuous Time System," STICERD - Econometrics Paper Series 343, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Bergstrom, A. R., 1986. "The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data," Econometric Theory, Cambridge University Press, vol. 2(3), pages 350-373, December.
    5. 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(4), pages 467-505, February.
    6. Simos, Theodore, 1996. "Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends," Econometric Theory, Cambridge University Press, vol. 12(2), pages 361-373, June.
    7. Robinson, Peter M., 1977. "The construction and estimation of continuous time models and discrete approximations in econometrics," Journal of Econometrics, Elsevier, vol. 6(2), pages 173-197, September.
    8. Harvey, A. C. & Stock, James H., 1985. "The Estimation of Higher-Order Continuous Time Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 1(1), pages 97-117, April.
    9. Bergstrom, A.R., 1987. "Optimal control in wide-sense stationary continuous-time stochastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 11(3), pages 425-443, September.
    10. Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-980, July.
    11. Bergstrom, A. R. & Nowman, K. B. & Wandasiewicz, S., 1994. "Monetary and fiscal policy in a second-order continuous time macroeconometric model of the United Kingdom," Journal of Economic Dynamics and Control, Elsevier, vol. 18(3-4), pages 731-761.
    12. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    13. Zadrozny, Peter, 1988. "Gaussian Likelihood of Continuous-Time ARMAX Models When Data Are Stocks and Flows at Different Frequencies," Econometric Theory, Cambridge University Press, vol. 4(1), pages 108-124, April.
    14. Chambers, MJ, 1998. "Gaussian estimation of temporally aggregated cointegrated systems," Economics Discussion Papers 2763, University of Essex, Department of Economics.
    15. Bergstrom, Albert Rex, 1983. "Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models," Econometrica, Econometric Society, vol. 51(1), pages 117-152, January.
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    Cited by:

    1. Thornton, Michael A. & Chambers, Marcus J., 2017. "Continuous time ARMA processes: Discrete time representation and likelihood evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 48-65.
    2. Theodore Simos, 2008. "The exact discrete model of a system of linear stochastic differential equations driven by fractional noise," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1019-1031, November.
    3. 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.
    4. 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.
    5. Jewitt, Giles & Roderick McCrorie, J., 2005. "Computing estimates of continuous time macroeconometric models on the basis of discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 397-416, April.
    6. Chambers, M.J. & McCrorie, J.R., 2004. "Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems," Discussion Paper 2004-40, Tilburg University, Center for Economic Research.
    7. 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.
    8. D. Stephen G. Pollock, 2020. "Linear Stochastic Models in Discrete and Continuous Time," Econometrics, MDPI, vol. 8(3), pages 1-22, September.
    9. Chen, Baoline & Zadrozny, Peter A., 2001. "Analytic derivatives of the matrix exponential for estimation of linear continuous-time models1," Journal of Economic Dynamics and Control, Elsevier, vol. 25(12), pages 1867-1879, December.
    10. McCrorie, J. Roderick & Chambers, Marcus J., 2006. "Granger causality and the sampling of economic processes," Journal of Econometrics, Elsevier, vol. 132(2), pages 311-336, June.
    11. J. Roderick McCrorie, 2000. "The Likelihood of a Continuous-time Vector Autoregressive Model," Working Papers 419, Queen Mary University of London, School of Economics and Finance.
    12. Marcus J. Chambers, 2011. "Cointegration and sampling frequency," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 156-185, July.
    13. Michael A. Thornton & Marcus J. Chambers, 2013. "Temporal aggregation in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 13, pages 289-310, Edward Elgar Publishing.
    14. Arie ten Cate, 2004. "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper 41, CPB Netherlands Bureau for Economic Policy Analysis.
    15. Tilak Abeysinghe & Gulasekaran Rajaguru, 2004. "Temporal aggregation, causality distortions and a sign rule," Econometric Society 2004 Australasian Meetings 73, Econometric Society.
    16. Chambers, Marcus J. & Roderick McCrorie, J., 2007. "Frequency domain estimation of temporally aggregated Gaussian cointegrated systems," Journal of Econometrics, Elsevier, vol. 136(1), pages 1-29, January.
    17. Michael A. Thornton & Marcus J. Chambers, 2013. "Continuous-time autoregressive moving average processes in discrete time: representation and embeddability," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 552-561, September.
    18. J. Roderick McCrorie, 2000. "The Likelihood of a Continuous-time Vector Autoregressive Model," Working Papers 419, Queen Mary University of London, School of Economics and Finance.

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