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ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG

Published online by Cambridge University Press:  01 August 2009

J. Roderick McCrorie
J. Roderick McCrorie*
Affiliation:
University of St. Andrews and CORE, Université catholique de Louvain
*
*Address correspondence to J.R. McCrorie, School of Economics and Finance, University of St Andrews, Castlecliffe, The Scores, St Andrews KY16 9AL, U.K.; e-mail: mccrorie@st-andrews.ac.uk.
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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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ARTICLES
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Econometric Theory , Volume 25 , Issue 4: Bergstrom Memorial Dedication Issue , August 2009 , pp. 1120 - 1137
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Copyright © Cambridge University Press 2009

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