An Exact Discrete Analog to a Closed Linear First-Order Continuous-Time System with Mixed Sample
Temisan Agbeyegbe ()
Econometric Theory, 1987, vol. 3, issue 1, 143-149
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.
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