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Continuous Time Modelling Based on an Exact Discrete Time Representation

Chambers, MJ and McCrorie, JR and Thornton, MA (2017) Continuous Time Modelling Based on an Exact Discrete Time Representation. Working Paper. University of Essex, Department of Economics, Economics Discussion Papers, Colchester.

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Abstract

This chapter provides a survey of methods of continuous time modelling based on an exact discrete time representation. It begins by highlighting the techniques involved with the derivation of an exact discrete time representation of an underlying continuous time model,providing specificc details for a second-order linear system of stochastic differential equations. Issues of parameter identification, Granger causality, nonstationarity, and mixed frequency data are addressed, all being important considerations in applications in economics and other disciplines. Although the focus is on Gaussian estimation of the exact discrete time model, alternative time domain (state space) and frequency domain approaches are also discussed. Computational issues are explored and two new empirical applications are included along with a discussion of applications in the field of macroeconometric modelling.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Continuous time; exact discrete time representation; stochastic di erential equation; Gaussian estimation; identi cation; Granger causality; nonstationarity; mixed frequency data; computation; macroeconometric modelling.
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Elements
Date Deposited: 12 Oct 2017 12:11
Last Modified: 12 Oct 2017 12:11
URI: http://repository.essex.ac.uk/id/eprint/20497

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