Continuous-time modelling in econometrics and engineering - juli 2002

Arie ten Cate

No 42, CPB Memorandum from CPB Netherlands Bureau for Economic Policy Analysis

Abstract: This paper discusses a widely used discrete-time analog of dynamic continuous-time models. This analog can not be used for the estimation of models with fast adaption to shocks. This has been overlooked in the econometric literature.In the engineering literature this same analogon is defined, using other names and other notation. Here warnings can be found against the estimation of fast models. The engineering literature is ignored in the econometric literature.

JEL-codes: C22 C51 (search for similar items in EconPapers)
Date: 2002-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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