Error Correction and Long-Run Equilibrium in Continuous Time

DOI10.2307/2938169zbMATH Open0725.62101OpenAlexW2174346083MaRDI QIDQ5203540FDOQ5203540

Authors: Peter C. B. Phillips 

Publication date: 1991

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d08/d0882-r.pdf

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zbMATH Keywords

cointegrated systemsstochastic differential equationserror correction modelsaliasingtemporal aggregationcontinuous systemtriangular systemspectral regressiondiscrete time reduced formFrequency domain proceduresGaussian assumptionsLong-run equilibrium coefficientsrestricted cointegrating matricesstationary vector time series

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Applications of statistics to economics (62P20) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

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• MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
• Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data
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• Time series regression on integrated continuous-time processes with heavy and light tails
• On the relationship between the theory of cointegration and the theory of phase synchronization
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
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• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
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• Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
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• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
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• The Impact of Cointegration on Commodity Spread Options
• Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration
• Nonparametric entropy-based tests of independence between stochastic processes
• ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
• Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series
• Time-consistent mean-variance hedging of longevity risk: effect of cointegration
• Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data
• Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies
• Aggregation over time, error correction models and Granger causality:
• Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data

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