Chambers, Marcus J (1999) Discrete time representation of stationary and non-stationary continuous time systems. Journal of Economic Dynamics and Control, 23 (4). pp. 619-639. DOI https://doi.org/10.1016/s0165-1889(98)00032-3
Chambers, Marcus J (1999) Discrete time representation of stationary and non-stationary continuous time systems. Journal of Economic Dynamics and Control, 23 (4). pp. 619-639. DOI https://doi.org/10.1016/s0165-1889(98)00032-3
Chambers, Marcus J (1999) Discrete time representation of stationary and non-stationary continuous time systems. Journal of Economic Dynamics and Control, 23 (4). pp. 619-639. DOI https://doi.org/10.1016/s0165-1889(98)00032-3
Abstract
This paper derives the formulae for an exact discrete time representation corresponding to a system of higher-order stochastic differential equations. The formulae are applicable in stationary, non-stationary and explosive systems and for data observed as a mixture of both stock and flow variables. Expressions are also provided for an explicit moving average representation of the disturbance vector in the discrete time model, which can be used, under the assumption of white noise continuous time disturbances, to derive formulae for the computation of the exact Gaussian likelihood function.
Item Type: | Article |
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Uncontrolled Keywords: | continuous time system; discrete time representation |
Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 08 Jul 2012 16:43 |
Last Modified: | 30 Oct 2024 19:36 |
URI: | http://repository.essex.ac.uk/id/eprint/2752 |