Estimating continuous-time models on the basis of discrete data via an exact discrete analog

J. Roderick McCrorie

doi:10.1017/S0266466608090452

Estimating continuous-time models on the basis of discrete data via an exact discrete analog

J. Roderick McCrorie

Research output: Contribution to journal › Article › peer-review

10 Citations (Scopus)

Abstract

This paper offers a perspective on A.R. Bergstrom's contribution to continuous-time modeling, focusing on his preferred method of estimating the parameters of a structural continuous-time model using an exact discrete-time analog. Some inherent difficulties in this approach are discussed, which help to explain why, in spite of his prescience, the methods around his time were not universally adopted as he had hoped. Even so, it is argued that Bergstrom's contribution and legacy is secure and retains some relevance today for the analysis of macroeconomic and financial time series.

Original language	English
Pages (from-to)	1120-1137
Number of pages	18
Journal	Econometric Theory
Volume	25
Issue number	4
DOIs	https://doi.org/10.1017/S0266466608090452
Publication status	Published - Aug 2009

Keywords

GAUSSIAN ESTIMATION
DIFFERENTIAL-EQUATIONS
DYNAMIC-MODELS
TERM STRUCTURE
AUTOREGRESSIVE MODELS
TEMPORAL AGGREGATION
STOCHASTIC TRENDS
MARKOV-PROCESSES
FLOW DATA
ORDER

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title = "Estimating continuous-time models on the basis of discrete data via an exact discrete analog",

abstract = "This paper offers a perspective on A.R. Bergstrom's contribution to continuous-time modeling, focusing on his preferred method of estimating the parameters of a structural continuous-time model using an exact discrete-time analog. Some inherent difficulties in this approach are discussed, which help to explain why, in spite of his prescience, the methods around his time were not universally adopted as he had hoped. Even so, it is argued that Bergstrom's contribution and legacy is secure and retains some relevance today for the analysis of macroeconomic and financial time series.",

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year = "2009",

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AB - This paper offers a perspective on A.R. Bergstrom's contribution to continuous-time modeling, focusing on his preferred method of estimating the parameters of a structural continuous-time model using an exact discrete-time analog. Some inherent difficulties in this approach are discussed, which help to explain why, in spite of his prescience, the methods around his time were not universally adopted as he had hoped. Even so, it is argued that Bergstrom's contribution and legacy is secure and retains some relevance today for the analysis of macroeconomic and financial time series.

KW - GAUSSIAN ESTIMATION

KW - DIFFERENTIAL-EQUATIONS

KW - DYNAMIC-MODELS

KW - TERM STRUCTURE

KW - AUTOREGRESSIVE MODELS

KW - TEMPORAL AGGREGATION

KW - STOCHASTIC TRENDS

KW - MARKOV-PROCESSES

KW - FLOW DATA

KW - ORDER

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SP - 1120

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JO - Econometric Theory

JF - Econometric Theory

IS - 4

ER -

Estimating continuous-time models on the basis of discrete data via an exact discrete analog

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Keywords

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