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Estimation of Continuous Time Models in Economics: an Overview

Clifford R. Wymer ()
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Clifford R. Wymer: Dipartimento di Economia, Sapienza University of Rome Italy

No 7, Working Papers - Dipartimento di Economia from Dipartimento di Economia, Sapienza University of Rome

Abstract: The dynamics of economic behaviour is often developed in theory as a continuous time system. Rigorous estimation and testing of such systems, and the analysis of some aspects of their properties, is of particular importance in distinguishing between competing hypotheses and the resulting models. The consequences for the international economy during the past eighteen months of failures in the financial sector, and particularly the banking sector, make it essential that the dynamics of financial and commodity markets and of macro-economic policy are well understood. The nonlinearity of the economic system means that it’s properties are heavily dependent on it’s parameter values. The estimators discussed here are tools to provide those parameter estimates.

Date: 2009, Revised 2009
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