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Continuous-Time Linear Models


  • John H. Cochrane


I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas.

Suggested Citation

  • John H. Cochrane, 2012. "Continuous-Time Linear Models," NBER Working Papers 18181, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:18181
    Note: AP EFG

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    References listed on IDEAS

    1. Gallet, Craig A., 2007. "The demand for alcohol: a meta-analysis of elasticities," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 51(2), June.
    2. Padmaja Ayyagari & Partha Deb & Jason Fletcher & William T. Gallo & Jody L. Sindelar, 2009. "Sin Taxes: Do Heterogeneous Responses Undercut Their Value?," NBER Working Papers 15124, National Bureau of Economic Research, Inc.
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    Blog mentions

    As found by, the blog aggregator for Economics research:
    1. What I Learned Last Week
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-10-13 09:19:00

    More about this item

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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