Discrete time representation of stationary and non-stationary continuous time systems

DOI10.1016/S0165-1889(98)00032-3zbMath0914.90042OpenAlexW2085523987MaRDI QIDQ1275550

Marcus J. Chambers

Publication date: 12 January 1999

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(98)00032-3

zbMATH Keywords

discrete time representationexact Gaussian likelihood functionhigher-order stochastic differential equations

Mathematics Subject Classification ID

Economic growth models (91B62) Model systems in control theory (93C99)

Related Items (18)

Frequency domain estimation of temporally aggregated Gaussian cointegrated systems ⋮ Granger causality and the sampling of economic processes ⋮ DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA ⋮ REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING ⋮ ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG ⋮ Continuous time ARMA processes: discrete time representation and likelihood evaluation ⋮ The exact discrete time representation of a system of fourth-order differential equations ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES ⋮ The exact discrete model of a system of linear stochastic differential equations driven by fractional noise ⋮ Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability ⋮ Cointegration and sampling frequency ⋮ Computing estimates of continuous time macroeconometric models on the basis of discrete data ⋮ Interpolating exogenous variables in continuous time dynamic models ⋮ Analytic derivatives of the matrix exponential for estimation of linear continuous-time models. ⋮ Estimation of continuous and discrete time co-integrated systems with stock and flow variables ⋮ Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data ⋮ THE EXACT DISCRETE MODEL OF A THIRD-ORDER SYSTEM OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH OBSERVABLE STOCHASTIC TRENDS

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• DERIVING THE EXACT DISCRETE ANALOG OF A CONTINUOUS TIME SYSTEM
• Computing integrals involving the matrix exponential
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Error Correction and Long-Run Equilibrium in Continuous Time
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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