The construction and estimation of continuous time models and discrete approximations in econometrics
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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.
- Koo, Bonsoo & Linton, Oliver, 2012. "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, vol. 170(1), pages 210-233.
- 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.
- 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.
- Chambers, Marcus J., 1998.
"The estimation of systems of joint differential-difference equations,"
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Elsevier, vol. 85(1), pages 1-31, July.
- Chambers, MJ, 1995. "The Estimation of Systems of Joint Differential-Difference Equations," Economics Discussion Papers 2764, University of Essex, Department of Economics.
- 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.
- 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.
- Proietti, Tommaso, 2008. "Band spectral estimation for signal extraction," Economic Modelling, Elsevier, vol. 25(1), pages 54-69, January.
- Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
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