Deriving the exact discrete analog of a continuous time system

Econometric Theory

Volumn 16, Issue 6, 2000, Pages 998-1015

  McCrorie, J Roderick ^a,b  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034368232     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466600166071     Document Type: Article

References (13)

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2. Bergstrom, A.R. (1984) Continuous time stochastic models and issues of aggregation over time. In: Z. Griliches & M.D. Intriligator (eds.), Handbook of Econometrics, pp. 1145-1212. Amsterdam: North-Holland.
3. Bergstrom, A.R. (1986) The estimation of open higher-order continuous time dynamic models with mixed stock and flow data. Econometric Theory 2, 350-373.
4. Bergstrom, A.R. (1990) Continuous Time Econometric Modelling. Oxford: Oxford University Press.
5. Bergstrom, A.R. (1996) Survey of continuous time econometrics. In: W.A. Barnett, G. Gandolfo, & C. Hillinger (eds.), Dynamic Disequilibrium Modeling, pp. 3-25. Cambridge: Cambridge University Press.
6. Bergstrom, A.R. (1997) Gaussian estimation of mixed order continuous time dynamic models with unobservable stochastic trends from mixed stock and flow data. Econometric Theory 13, 467-505.
7. Bergstrom, A.R. & C.R. Wymer (1976) A model of disequilibrium neoclassical growth and its application to the United Kingdom. In: A.R. Bergstrom (ed.), Statistical Inference in Continuous Time Economic Models, pp. 267-327. Amsterdam: North-Holland.
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9. Chambers, M.J. (1999) Discrete time representation of stationary and nonstationary continuous time systems. Journal of Economic Dynamics and Control 23, 619-639.
10. Golub, G.H. & C.F. Van Loan (1996) Matrix Computations, 3rd ed. Baltimore: Johns Hopkins University Press.
11. Grossman, S.J., A. Melino, & R.J. Shiller (1987) Estimating the continuous-time consumption-based asset-pricing model. Journal of Business and Economic Statistics 5, 315-327.
12. Hansen, L.P. & T.J. Sargent (1991) Identification of continuous time rational expectations from discrete data. In: L.P. Hansen & T.J. Sargent (eds.), Rational Expectations Econometrics, pp. 219-235. Boulder: Westview Press.
13. Harvey, A.C. & J.H. Stock (1988) Continuous time autoregressive models with common stochastic trends. Journal of Economic Dynamics and Control 12, 365-384.