Estimating continuous-time models on the basis of discrete data via an exact discrete analog by J. Roderick McCrorie

By:

MacCrorie, J. Roderick [author]

Material type: Text

TextSeries: Econometric theory ; Volume 25, number 4Cambridge University Press : Cambridge University Press, 2009Content type:

text

Media type:

unmediated

Carrier type:

volume

Subject(s):

Econometric model

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

Summary: 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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Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB139.T52 ECO (Browse shelf(Opens below))	vol. 25, no. 4 (pages 1120-1137)	SP3259	Not for loan	For In house Use

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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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