A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends
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- Bergstrom,Albert Rex & Nowman,Khalid Ben, 2012. "A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends," Cambridge Books, Cambridge University Press, number 9781107411234.
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- Peter Phillips, 2010. "Two New Zealand pioneer econometricians," New Zealand Economic Papers, Taylor & Francis Journals, vol. 44(1), pages 1-26.
- Bernd Hayo & Britta Niehof, 2014. "Monetary and Fiscal Policy in Times of Crises: A New Keynesian Perspective in Continuous Time," MAGKS Papers on Economics 201455, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter PhillipsÃ¢â‚¬â„¢ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
- Federici, Daniela & Saltari, Enrico & Wymer, Clifford, 2015. "Endogenizing the ICT sector: A multi-sector approach," MPRA Paper 66723, University Library of Munich, Germany.
- Joanne S. Ercolani, 2007. "Cyclical Trends in Continuous Time Models," Discussion Papers 07-13, Department of Economics, University of Birmingham.
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"Empirical assessment of bifurcation regions within New Keynesian models,"
Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 99-128, October.
- Barnett, William A. & Duzhak, Evgeniya A., 2008. "Empirical assessment of bifurcation regions within new Keynesian models," MPRA Paper 11249, University Library of Munich, Germany.
- William Barnett & Evgeniya Aleksandrovna Duzhak, 2008. "Empirical Assessment of Bifurcation Regions within New Keynesian Models," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200811, University of Kansas, Department of Economics, revised Oct 2008.
- Peter C. B. Phillips & Jun Yu, 2006.
"Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance,"
Development Economics Working Papers
22471, East Asian Bureau of Economic Research.
- Peter C.B. Phillips & Jun Yu, 2007. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers 1597, Cowles Foundation for Research in Economics, Yale University.
- Koo, Bonsoo & Linton, Oliver, 2012. "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, vol. 170(1), pages 210-233.
- repec:eee:dyncon:v:79:y:2017:i:c:p:48-65 is not listed on IDEAS
- 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.
- Yu, Jun, 2014.
"Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results,"
Cambridge University Press, vol. 30(04), pages 737-774, August.
- Jun YU, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers 21-2009, Singapore Management University, School 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.
- Nowman, K. Ben, 2011. "Gaussian estimation of continuous time diffusions of UK interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(8), pages 1618-1624.
- 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.
- E. et al. Saltari, 2011. "The impact of ICT on the Italian productivity dynamics," Working Papers 149, University of Rome La Sapienza, Department of Public Economics.
- Michael A. Thornton & Marcus J. Chambers, 2013. "Temporal aggregation in macroeconomics," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 13, pages 289-310 Edward Elgar Publishing.
- 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.
- Michael Thornton & Marcus Chambers, 2016. "Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation," Discussion Papers 16/10, Department of Economics, University of York.
- P. Dontis-Charitos & S. R. Jory & T. N. Ngo & K. B. Nowman, 2013. "A multi-country analysis of the 2007--2009 financial crisis: empirical results from discrete and continuous time models," Applied Financial Economics, Taylor & Francis Journals, vol. 23(11), pages 929-950, June.
- Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
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