Refinement of the partial adjustment model using continuous-time econometrics
This paper presents some suggestions for the specification of dynamic models. These suggestions are based on the supposed continuous-time nature of most economic processes. In particular, the partial adjustment model -or Koyck lag model- is discussed. The refinement of this model is derived from the continuous-time econometric literature. We find three alternative formulas for this refinement, depending on the particular econometric literature which is used. Two of these formulas agree with an intuitive example. In passing, it is shown that that the continuous-time models of Sims and Bergstrom are closely related. Also the inverse of Bergstrom's approximate analog has been introduced, making use of engineering mathematics. Followed by Error-correction modelling in discrete and continuous time , Economics Letters 101 (2008), pp.140-141 [with Philip Hans Franses]
|Date of creation:||Nov 2004|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (070) 338 33 80
Fax: (070) 338 33 50
Web page: http://www.cpb.nl/
More information through EDIRC
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.:
- Sims, Christopher A, 1971. "Discrete Approximations to Continuous Time Distributed Lags in Econometrics," Econometrica, Econometric Society, vol. 39(3), pages 545-63, May.
- McCrorie, J.R. & Chambers, M.J., 2004.
"Granger Causality and the Sampling of Economic Processes,"
2004-39, Tilburg University, Center for Economic Research.
- 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.
- Arie ten Cate, 2002. "Continuous-time modelling in econometrics and engineering - juli 2002," CPB Memorandum 42, CPB Netherlands Bureau for Economic Policy Analysis.
- Bergstrom, A. R., 1988. "The History of Continuous-Time Econometric Models," Econometric Theory, Cambridge University Press, vol. 4(03), pages 365-383, December.
- ten Cate, Arie, 1993. "The current period coefficient of polynomial lag distributions," Economic Modelling, Elsevier, vol. 10(4), pages 408-416, October.
- 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.
- Teles, Paulo & Wei, William W. S., 2000. "The effects of temporal aggregation on tests of linearity of a time series," Computational Statistics & Data Analysis, Elsevier, vol. 34(1), pages 91-103, July.
When requesting a correction, please mention this item's handle: RePEc:cpb:discus:41. 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: ()
If references are entirely missing, you can add them using this form.