Research Repository

Discrete time representations of cointegrated continuous time models with mixed sample data

Chambers, MJ (2009) 'Discrete time representations of cointegrated continuous time models with mixed sample data.' Econometric Theory, 25 (4). 1030 - 1049. ISSN 0266-4666

Full text not available from this repository.

Abstract

This paper derives an exact discrete time representation corresponding to a triangular cointegrated continuous time system with mixed stock and flow variables and observable stochastic trends. The discrete time model inherits the triangular structure of the underlying continuous time system and does not suffer from the apparent excess differencing that has been found in some related work. It can therefore serve as a basis for the study of the asymptotic sampling properties of estimators of the model's parameters. Some further analytical and computational results that enable Gaussian estimation to be implemented are also provided. © 2009 Cambridge University Press.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 03 Jul 2012 21:58
Last Modified: 05 Feb 2019 18:15
URI: http://repository.essex.ac.uk/id/eprint/2784

Actions (login required)

View Item View Item