Ebook: Continuous-Time Econometrics: Theory and applications

Continuous-time econometrics is no longer an esoteric subject although most still regard it as such, so much so that it is hardly mentioned in standard textbooks on econometrics. Thanks to the work done in the last 20 years, both the theoretical and the applied side are by now well developed. Methods of estimation have been theoretically elaborated and practically implemented through computer programs. Continuous-time macroeconometric models for different countries have been constructed, estimated and used. Being myself involved in these developments, it was with great pleasure that I accepted the invitation to organize a session on continuous-time econometrics in the context of the International Symposium on Economic Modelling (jointly organized by the University of Urbino and the book series International Studies in Economic Modelling, and co-sponsored by the Consiglio Nazionale delle Ricerche). The reaction of 'continuists' from all over the world was so enthusiastic that I was able to arrange two sessions, one on the theory and the other on the applications. The symposium was held in Urbino on 23-25 July 1990. The papers presented in Urbino have been revised in the light of the discussion at the symposium and the referees' comments. Hence, what is published here should become another standard reference in the field of continuous-time econometrics.

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Content:
Front Matter....Pages i-xiii
Continuous-time econometrics has come of age....Pages 1-11
The history of continuous-time econometric models....Pages 13-34
Continuous-time models in macroeconomics: specification and estimation....Pages 35-79
An approximation to the covariance matrix of a mixed-sample system....Pages 81-92
Finite-sample properties of the Gaussian estimation of an open higher-order continuous-time dynamic model with mixed stock and flow data....Pages 93-116
Aggregation over time, space and individuals in economic modelling: a generating mechanism approach....Pages 117-132
Capital liberalization and exchange rate expectations: the italian case....Pages 133-149
A continuous-time model of the United States economy....Pages 151-193
Contimos — A continuous-time econometric model for Sweden based on monthly data....Pages 195-227
Flexible functional forms and generalized dynamic adjustment in the specification of the demand for money....Pages 229-259
Back Matter....Pages 261-267

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Content:
Front Matter....Pages i-xiii
Continuous-time econometrics has come of age....Pages 1-11
The history of continuous-time econometric models....Pages 13-34
Continuous-time models in macroeconomics: specification and estimation....Pages 35-79
An approximation to the covariance matrix of a mixed-sample system....Pages 81-92
Finite-sample properties of the Gaussian estimation of an open higher-order continuous-time dynamic model with mixed stock and flow data....Pages 93-116
Aggregation over time, space and individuals in economic modelling: a generating mechanism approach....Pages 117-132
Capital liberalization and exchange rate expectations: the italian case....Pages 133-149
A continuous-time model of the United States economy....Pages 151-193
Contimos — A continuous-time econometric model for Sweden based on monthly data....Pages 195-227
Flexible functional forms and generalized dynamic adjustment in the specification of the demand for money....Pages 229-259
Back Matter....Pages 261-267
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