Discrete Approximations to Continuous Time Distributed Lags in Econometrics

Cited in

(24)

The construction and estimation of continuous time models and discrete approximations in econometrics
Optimal peak load pricing with time-additive consumer preferences
Aggregation of linear dynamic microeconomic models
The problem of identification in finite parameter continuous time models
Detrending time-aggregated data
Nowcasting with large Bayesian vector autoregressions
Comment: A selective overview of nonparametric methods in financial econometrics
Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
Estimating dynamic equilibrium models using mixed frequency macro and financial data
Extensions of the Hansen-Sargent prediction formulas to sampled and aggregated data
The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting
Nonparametric transformation to white noise
Granger causality and the sampling of economic processes
Finite-sample simulation-based inference in VAR models with application to Granger causality testing
ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
Implications of temporal aggregation on the relation between two time series
Finite-parameter approximations to frequency response function
Identifying restrictions for finite parameter continuous time models with discrete time data
State-space analysis of Granger-Geweke causality measures with application to fMRI
Temporal aggregation in a multi-sector economy with endogenous growth
High-Dimensional Mixed-Frequency IV Regression
Identification and estimation of continuous-time dynamic discrete choice games
Testing for Granger causality in large mixed-frequency VARs
Regression models with mixed sampling frequencies

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