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The estimation of continuous time models with mixed frequency data

Chambers, MJ (2016) 'The estimation of continuous time models with mixed frequency data.' Journal of Econometrics, 193 (2). 390 - 404. ISSN 0304-4076

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Abstract

© 2016 The Author This paper derives exact representations for discrete time mixed frequency data generated by an underlying multivariate continuous time model. Allowance is made for different combinations of stock and flow variables as well as deterministic trends, and the variables themselves may be stationary or nonstationary (and possibly cointegrated). The resulting discrete time representations allow for the information contained in high frequency data to be utilised alongside the low frequency data in the estimation of the parameters of the continuous time model. Monte Carlo simulations explore the finite sample performance of the maximum likelihood estimator of the continuous time system parameters based on mixed frequency data, and a comparison with extant methods of using data only at the lowest frequency is provided. An empirical application demonstrates the methods developed in the paper and it concludes with a discussion of further ways in which the present analysis can be extended and refined.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 09 May 2016 14:43
Last Modified: 17 Aug 2017 17:27
URI: http://repository.essex.ac.uk/id/eprint/16577

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