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The construction and estimation of continuous time models and discrete approximations in econometrics

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  • Robinson, Peter M.
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    File URL: http://www.sciencedirect.com/science/article/pii/0304-4076(77)90014-8
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 6 (1977)
    Issue (Month): 2 (September)
    Pages: 173-197

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    Handle: RePEc:eee:econom:v:6:y:1977:i:2:p:173-197
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    Cited by:

    1. Chambers, Marcus J, 1995. "The Estimation of Systems of Joint Differential-Difference Equations," Economics Discussion Papers 2764, University of Essex, Department of Economics.
    2. 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.
    3. Koo, Bonsoo & Linton, Oliver, 2012. "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, vol. 170(1), pages 210-233.
    4. Proietti, Tommaso, 2008. "Band spectral estimation for signal extraction," Economic Modelling, Elsevier, vol. 25(1), pages 54-69, January.
    5. 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.
    6. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
    7. Peter Robinson, 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.
    8. Peter M Robinson, 2005. "Modelling Memory of Economic and Financial Time Series," STICERD - Econometrics Paper Series 487, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    9. 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.

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