An Exact Discrete Analog to a Closed Linear First-Order Continuous-Time System with Mixed Sample

Terence D. Agbeyegbe

Econometric Theory, 1987, vol. 3, issue 01, pages 143-149

Abstract: This article deals with the derivation of the exact discrete model that corresponds to a closed linear first-order continuous-time system with mixed stock and flow data. This exact discrete model is (under appropriate additional conditions) a stationary autoregressive moving average time series model and may allow one to obtain asymptotically efficient estimators of the parameters describing the continuous-time system.

Date: 1987

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:3:y:1987:i:01:p:143-149_00

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