Estimation of continuous-time linear DSGE models from discrete-time measurements

DOI10.1016/j.jeconom.2024.105871MaRDI QIDQ6664659

Juan Carlos Parra-Alvarez, Bent Jesper Christensen, Luca Neri

Publication date: 16 January 2025

Published in: Journal of Econometrics (Search for Journal in Brave)

continuous time DSGE models structural shocks local identification mixed frequency data stock and flow variables exact discrete-time state space representation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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