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Continuous-time modelling in econometrics and engineering - juli 2002

Author

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  • Arie ten Cate

    (CPB Netherlands Bureau for Economic Policy Analysis)

Abstract

This paper discusses a widely used discrete-time analog of dynamic continuous-time models. This analog can not be used for the estimation of models with fast adaption to shocks. This has been overlooked in the econometric literature. In the engineering literature this same analogon is defined, using other names and other notation. Here warnings can be found against the estimation of fast models. The engineering literature is ignored in the econometric literature.

Suggested Citation

  • Arie ten Cate, 2002. "Continuous-time modelling in econometrics and engineering - juli 2002," CPB Memorandum 42, CPB Netherlands Bureau for Economic Policy Analysis.
  • Handle: RePEc:cpb:memodm:42
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    File URL: http://www.cpb.nl/sites/default/files/publicaties/download/memo420.pdf
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    Cited by:

    1. 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.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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