Computing estimates of continuous time macroeconometric models on the basis of discrete data

DOI10.1016/j.csda.2004.05.021zbMath1429.62672OpenAlexW2074036613MaRDI QIDQ957212

Giles Jewitt, J. Roderick McCrorie

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.05.021

zbMATH Keywords

Padé approximationcontinuous timematrix exponentialdynamic disequilibrium modellingSchur-Fréchet method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to probability theory (60-08) Numerical computation of matrix exponential and similar matrix functions (65F60)

Related Items (6)

DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA ⋮ Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data ⋮ Second special issue on computational econometrics ⋮ Computing estimates of continuous time macroeconometric models on the basis of discrete data ⋮ The estimation of continuous time models with mixed frequency data ⋮ Estimation of continuous and discrete time co-integrated systems with stock and flow variables

Cites Work

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