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    This article has been cited by the following publications. This list is generated based on data provided by CrossRef.
    Nowman, K. Ben 2009. REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING. Econometric Theory, Vol. 25, Issue. 04, p. 1087.
    McGarry, J.S. 2003. The exact discrete time representation of a system of fourth-order differential equations. Computers & Mathematics with Applications, Vol. 46, Issue. 2-3, p. 213.
    Roderick McCrorie, J. 2001. Interpolating exogenous variables in continuous time dynamic models. Journal of Economic Dynamics and Control, Vol. 25, Issue. 9, p. 1399.
    Nowman, K. Ben 2000. Implied continuous time lag distributions: further evidence for the UK. Applied Economics Letters, Vol. 7, Issue. 6, p. 415.
    Byers, S.L. and Nowman, K.B. 1998. Forecasting U.K. and U.S. interest rates using continuous time term structure models. International Review of Financial Analysis, Vol. 7, Issue. 3, p. 191.
    Bergstrom, A.R. 1997. Gaussian Estimation of Mixed-Order Continuous-Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data. Econometric Theory, Vol. 13, Issue. 04, p. 467.
    Chambers, Marcus J. 1993. A nonnested approach to testing continuous time models against discrete alternatives. Journal of Econometrics, Vol. 57, Issue. 1-3, p. 319.
    Bergstrom, A.R. Nowman, K.B. and Wymer, C.R. 1992. Gaussian estimation of a second order continuous time macroeconometric model of the UK. Economic Modelling, Vol. 9, Issue. 4, p. 313.
    Chambers, Marcus J. 1991. Forecasting discrete stock and flow data generated by a second order continuous time system. Computers & Mathematics with Applications, Vol. 22, Issue. 10, p. 107.
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Discrete Models for Estimating General Linear Continuous Time Systems

  • Marcus J. Chambers (a1)
Abstract

This paper derives discrete models for estimating systems of both first- and second-order linear differential equations in which derivatives of the exogenous variables appear in addition to their levels.

Copyright
COPYRIGHT: © Cambridge University Press 1991
References
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Agbeyegbe, T.D.An exact discrete analogue to a closed linear first-order continuous-time system with mixed sample. Econometric Theory 3 (1987): 143–149.
2.Agbeyegbe, T.D.An exact discrete analog to an open linear nonstationary first-order continuous-time system with mixed sample. Journal of Econometrics 39 (1988): 237–250.
3.Bailey, R.W., Hall, V.B. & Phillips, P.C.B.. A model of output, employment, capital formation and inflation. In Gandolfo, G. and Marzano, F..), Keynesian Theory, Planning Models and Quantitative Economics Giuffre-Editore, 1987.
4.Bergstrom, A.R.The estimation of open higher-order continuous time dynamic models with mixed stock and flow data. Econometric Theory 2 (1986): 350–373.
5.Chambers, M.J.Estimation of a continuous time dynamic demand system. Journal of Applied Econometrics 6 (1991), forthcoming.
6.Harvey, A.C. & Stock, J.H.. The estimation of higher-order continuous time autoregressive models. Econometric Theory 1 (1985): 97–117.
7.Nowman, K.B.Open higher-order continuous-time dynamic model with mixed stock and flow data and derivatives of exogenous variables. Econometric Theory 7 (1991): forthcoming.
8.Phillips, P.C.B. The estimation of linear stochastic differential equations with exogenous variables. In Bergstrom, A.R. (ed.), Statistical Inference in Continuous Time Economic Models, Chapter 7 and pp. 135–173. Amsterdam: North Holland, 1976.
9.Phillips, P.C.B.Error correction and long run equilibrium in continuous time. Econometrica 59 (1991): forthcoming.
10.Zadrozny, P.Gaussian likelihood of continuous time ARMAX models when data are stocks and flows at different frequencies. Econometric Theory 4 (1988): 108–124.
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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