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Albert Rex Bergstrom

(deceased)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. A. R. Bergstrom, 2001. "Stability and wage acceleration in macroeconomic models of cyclical growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 327-340.

    Mentioned in:

    1. Stability and wage acceleration in macroeconomic models of cyclical growth (Journal of Applied Econometrics 2001) in ReplicationWiki ()

Articles

  1. A. R. Bergstrom, 2001. "Stability and wage acceleration in macroeconomic models of cyclical growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 327-340.

    Cited by:

    1. Jewitt, Giles & Roderick McCrorie, J., 2005. "Computing estimates of continuous time macroeconometric models on the basis of discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 397-416, April.
    2. Joanne S. Ercolani, 2007. "Cyclical Trends in Continuous Time Models," Discussion Papers 07-13, Department of Economics, University of Birmingham.

  2. 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, Cambridge University Press, vol. 13(4), pages 467-505, February.

    Cited by:

    1. Thornton, Michael A. & Chambers, Marcus J., 2017. "Continuous time ARMA processes: Discrete time representation and likelihood evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 48-65.
    2. Maria Enescu & Marian Enescu, 2009. "Macroeconomic Modeling to Analyze the Development of Investments in Romania in the Transition," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(3), pages 269-276.
    3. Theodore Simos, 2008. "The exact discrete model of a system of linear stochastic differential equations driven by fractional noise," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1019-1031, November.
    4. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    5. McCrorie, J.R. & Chambers, M.J., 2004. "Granger Causality and the Sampling of Economic Processes," Discussion Paper 2004-39, Tilburg University, Center for Economic Research.
    6. J. Roderick McCrorie, 2000. "The Likelihood of a Continuous-time Vector Autoregressive Model," Working Papers 419, Queen Mary University of London, School of Economics and Finance.
    7. Russel Cooper & Kieran P. Donaghy, 2000. "Risk and Growth: Theoretical Relationships and Preliminary Estimates for South Africa," Econometric Society World Congress 2000 Contributed Papers 0527, Econometric Society.
    8. Michael A. Thornton & Marcus J. Chambers, 2013. "Temporal aggregation in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 13, pages 289-310, Edward Elgar Publishing.
    9. Chambers, M.J. & McCrorie, J.R., 2004. "Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems," Discussion Paper 2004-40, Tilburg University, Center for Economic Research.
    10. Jewitt, Giles & Roderick McCrorie, J., 2005. "Computing estimates of continuous time macroeconometric models on the basis of discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 397-416, April.
    11. Lorenzo Boldrini, 2015. "Forecasting the Global Mean Sea Level, a Continuous-Time State-Space Approach," CREATES Research Papers 2015-40, Department of Economics and Business Economics, Aarhus University.
    12. Roderick McCrorie, J., 2001. "Interpolating exogenous variables in continuous time dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1399-1427, September.
    13. Joanne S. Ercolani, 2007. "Cyclical Trends in Continuous Time Models," Discussion Papers 07-13, Department of Economics, University of Birmingham.
    14. Chambers, Marcus J. & Roderick McCrorie, J., 2007. "Frequency domain estimation of temporally aggregated Gaussian cointegrated systems," Journal of Econometrics, Elsevier, vol. 136(1), pages 1-29, January.
    15. Byers, S. L. & Nowman, K. B., 1998. "Forecasting U.K. and U.S. interest rates using continuous time term structure models," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 191-206.
    16. Michael A. Thornton & Marcus J. Chambers, 2013. "Continuous-time autoregressive moving average processes in discrete time: representation and embeddability," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 552-561, September.
    17. Milena Hoyos, 2020. "Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 249-267, March.
    18. Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.

  3. Bergstrom, A. R. & Nowman, K. B. & Wandasiewicz, S., 1994. "Monetary and fiscal policy in a second-order continuous time macroeconometric model of the United Kingdom," Journal of Economic Dynamics and Control, Elsevier, vol. 18(3-4), pages 731-761.

    Cited by:

    1. William Barnett & Guo Chen, 2015. "Bifurcation of Macroeconometric Models and Robustness of Dynamical Inferences," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201411, University of Kansas, Department of Economics, revised Apr 2015.
    2. William A. Barnett & Yijun He, 1999. "Center Manifold, Stability, and Bifurcations in Continuous Time Macroeconometric Systems," Macroeconomics 9901002, University Library of Munich, Germany.
    3. Barnett, William A. & He, Susan, 2010. "Existence of singularity bifurcation in an Euler-equations model of the United States economy: Grandmont was right," Economic Modelling, Elsevier, vol. 27(6), pages 1345-1354, November.
    4. William Barnett & Yijun He, 2012. "Stabilization Policy as Bifurcation Selection: Would Keynesian Policy Work if the World Really Were Keynesian?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201228, University of Kansas, Department of Economics, revised Sep 2012.
    5. Barnett, William A. & Duzhak, Evgeniya Aleksandrovna, 2008. "Non-robust dynamic inferences from macroeconometric models: Bifurcation stratification of confidence regions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3817-3825.
    6. William Barnett & Yijun He, 2012. "Bifurcations in Continuous-Time Macroeconomic Systems," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201226, University of Kansas, Department of Economics, revised Sep 2012.
    7. William Barnett & Morgan Rose, 2005. "Joseph Schumpeter and Modern Nonlinear Dynamics," Method and Hist of Econ Thought 0504001, University Library of Munich, Germany.
    8. William Barnett & Evgeniya Aleksandrovna Duzhak, 2008. "Empirical Assessment of Bifurcation Regions within New Keynesian Models," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200811, University of Kansas, Department of Economics, revised Oct 2008.
    9. Dobrescu, Emilian, 2001. "Evoluţia macromodelului economiei româneşti de tranzitie [The evolution of the Romanian model for the transition economy]," MPRA Paper 35798, University Library of Munich, Germany.
    10. He, Yijun & Barnett, William A., 2006. "Existence of bifurcation in macroeconomic dynamics: Grandmont was right," MPRA Paper 756, University Library of Munich, Germany.
    11. Dobrescu, Emilian, 2006. "Integration of macroeconomic behavioural relationships and the input-output block: Romanian modelling experience," MPRA Paper 35748, University Library of Munich, Germany.
    12. Nastac, Iulian & Dobrescu, Emilian & Pelinescu, Elena, 2007. "Neuro-Adaptive Model for Financial Forecasting," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 4(3), pages 19-41, September.
    13. Carl Chiarella & Peter Flaschel, 1999. "Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model," Working Paper Series 94, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    14. Pu Chen & Carl Chiarella & Peter Flaschel & Willi Semmler, 2006. "The feedback channels in macroeconomics: analytical foundations for structural econometric model building," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 14(3), pages 261-288, September.
    15. Tilak Abeysinghe & Gulasekaran Rajaguru, 2004. "Temporal aggregation, causality distortions and a sign rule," Econometric Society 2004 Australasian Meetings 73, Econometric Society.
    16. Roderick McCrorie, J., 2001. "Interpolating exogenous variables in continuous time dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1399-1427, September.
    17. Carl Chiarella & Peter Flaschel & Peiyuan Zhu, 2003. "Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model," Working Paper Series 96, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    18. Carl Chiarella & Peter Flaschel, 1999. "Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives," Working Paper Series 85, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    19. Dobrescu, Emilian, 2006. "Macromodel of the Romanian market economy (version 2005)," MPRA Paper 35749, University Library of Munich, Germany.
    20. Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.

  4. Bergstrom, A. R. & Nowman, K. B. & Wymer, C. R., 1992. "Gaussian estimation of a second order continuous time macroeconometric model of the UK," Economic Modelling, Elsevier, vol. 9(4), pages 313-351, October.

    Cited by:

    1. Sobreira, Nuno & Nunes, Luis C., 2012. "Tests for Multiple Breaks in the Trend with Stationary or Integrated Shocks," Insper Working Papers wpe_290, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    2. William Barnett & Guo Chen, 2015. "Bifurcation of Macroeconometric Models and Robustness of Dynamical Inferences," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201411, University of Kansas, Department of Economics, revised Apr 2015.
    3. William A. Barnett & Yijun He, 1999. "Center Manifold, Stability, and Bifurcations in Continuous Time Macroeconometric Systems," Macroeconomics 9901002, University Library of Munich, Germany.
    4. Barnett, William A. & He, Susan, 2010. "Existence of singularity bifurcation in an Euler-equations model of the United States economy: Grandmont was right," Economic Modelling, Elsevier, vol. 27(6), pages 1345-1354, November.
    5. William Barnett & Unal Eryilmaz, 2012. "Hopf Bifurcation in the Clarida, Gali, and Gertler Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201211, University of Kansas, Department of Economics, revised Sep 2012.
    6. Joanne S. McGarry & Marcus J. Chambers, 2004. "Party formation and coalitional bargaining in a model of proportional representation," Discussion Papers 04-07, Department of Economics, University of Birmingham.
    7. William Barnett & Yijun He, 2012. "Stabilization Policy as Bifurcation Selection: Would Keynesian Policy Work if the World Really Were Keynesian?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201228, University of Kansas, Department of Economics, revised Sep 2012.
    8. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    9. McCrorie, J.R. & Chambers, M.J., 2004. "Granger Causality and the Sampling of Economic Processes," Discussion Paper 2004-39, Tilburg University, Center for Economic Research.
    10. Enrico Saltari & Clifford Wymer & Daniela Federici & Marilena Giannetti, 2011. "The impact of ICT on the Italian productivity dynamics," Working Papers in Public Economics 149, University of Rome La Sapienza, Department of Economics and Law.
    11. Saltari Enrico & Wymer Clifford R. & Federici Daniela & Giannetti Marilena, 2012. "Technological Adoption with Imperfect Markets in the Italian Economy," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(2), pages 1-30, April.
    12. Barnett, William A. & Duzhak, Evgeniya Aleksandrovna, 2008. "Non-robust dynamic inferences from macroeconometric models: Bifurcation stratification of confidence regions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3817-3825.
    13. William Barnett & Yijun He, 2012. "Bifurcations in Continuous-Time Macroeconomic Systems," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201226, University of Kansas, Department of Economics, revised Sep 2012.
    14. Banerjee, Sanjibani & Barnett, William A. & Duzhak, Evgeniya A. & Gopalan, Ramu, 2011. "Bifurcation Analysis of Zellner's Marshallain Macroeconomic Model," MPRA Paper 30059, University Library of Munich, Germany.
    15. William Barnett & Morgan Rose, 2005. "Joseph Schumpeter and Modern Nonlinear Dynamics," Method and Hist of Econ Thought 0504001, University Library of Munich, Germany.
    16. Barnett, William A. & Eryilmaz, Unal, 2016. "An Analytical And Numerical Search For Bifurcations In Open Economy New Keynesian Models," Macroeconomic Dynamics, Cambridge University Press, vol. 20(2), pages 482-503, March.
    17. William Barnett & Evgeniya Aleksandrovna Duzhak, 2008. "Empirical Assessment of Bifurcation Regions within New Keynesian Models," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200811, University of Kansas, Department of Economics, revised Oct 2008.
    18. Nieuwenhuis, Herman J. & Schoonbeek, Lambert, 1997. "Stability and the structure of continuous-time economic models," Economic Modelling, Elsevier, vol. 14(3), pages 311-340, July.
    19. He, Yijun & Barnett, William A., 2006. "Existence of bifurcation in macroeconomic dynamics: Grandmont was right," MPRA Paper 756, University Library of Munich, Germany.
    20. Jewitt, Giles & Roderick McCrorie, J., 2005. "Computing estimates of continuous time macroeconometric models on the basis of discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 397-416, April.
    21. Federici, Daniela & Saltari, Enrico, 2018. "Elasticity Of Substitution And Technical Progress: Is There A Misspecification Problem?," Macroeconomic Dynamics, Cambridge University Press, vol. 22(1), pages 101-121, January.
    22. A. R. Bergstrom, 2001. "Stability and wage acceleration in macroeconomic models of cyclical growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 327-340.
    23. Semmler, Willi & Wohrmann, Peter, 2004. "Credit risk and sustainable debt: a model and estimations of why the Euro is stable in the long-run," Economic Modelling, Elsevier, vol. 21(6), pages 1145-1160, December.
    24. Federici, Daniela & Saltari, Enrico & Wymer, Clifford, 2015. "Endogenizing the ICT sector: A multi-sector approach," MPRA Paper 66723, University Library of Munich, Germany.
    25. Roderick McCrorie, J., 2001. "Interpolating exogenous variables in continuous time dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1399-1427, September.
    26. Joanne S. Ercolani, 2007. "Cyclical Trends in Continuous Time Models," Discussion Papers 07-13, Department of Economics, University of Birmingham.
    27. Byers, S. L. & Nowman, K. B., 1998. "Forecasting U.K. and U.S. interest rates using continuous time term structure models," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 191-206.
    28. Peter N. Ireland, 2007. "Commentary on \\"Monetary policy as equilibrium selection\\"," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 343-348.

  5. Bergstrom, A. R., 1988. "The History of Continuous-Time Econometric Models," Econometric Theory, Cambridge University Press, vol. 4(3), pages 365-383, December.

    Cited by:

    1. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
    2. Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series 520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Johan H. L. Oud & Henk Folmer & Roberto Patuelli & Peter Nijkamp, 2008. "A Spatial-Dependence Continuous-Time Model for Regional Unemployment in Germany," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0811, USI Università della Svizzera italiana.
    4. Peter Fuleky, 2011. "On the Choice of the Unit Period in Time Series Models," Working Papers 201111, University of Hawaii at Manoa, Department of Economics.
    5. Tianshun Yan & Yanyong Zhao & Wentao Wang, 2020. "Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate," Computational Statistics, Springer, vol. 35(2), pages 539-557, June.
    6. Federico M. Bandi & Peter C. B. Phillips, 2003. "Fully Nonparametric Estimation of Scalar Diffusion Models," Econometrica, Econometric Society, vol. 71(1), pages 241-283, January.
    7. Sy‐Miin Chow & Guangjian Zhang, 2008. "Continuous‐time modelling of irregularly spaced panel data using a cubic spline model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 131-154, February.
    8. Hermann Singer, 2011. "Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(4), pages 375-413, December.
    9. Arie ten Cate, 2004. "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper 41, CPB Netherlands Bureau for Economic Policy Analysis.
    10. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â," Finance Working Papers 22469, East Asian Bureau of Economic Research.
    11. Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011. "Modelling Electricity Prices: International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
    12. Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool," Energy Policy, Elsevier, vol. 38(10), pages 5671-5683, October.
    13. J. Oud, 2010. "Second-order stochastic differential equation model as an alternative for the ALT and CALT models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(2), pages 203-215, June.
    14. Tucker McElroy, 2013. "Forecasting continuous-time processes with applications to signal extraction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(3), pages 439-456, June.
    15. Péter Kevei, 2018. "Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(2), pages 467-487, April.
    16. Tucker S. McElroy & Thomas M. Trimbur, 2007. "Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering," Finance and Economics Discussion Series 2007-68, Board of Governors of the Federal Reserve System (U.S.).
    17. Robinson, Peter, 2007. "On discrete sampling of time-varying continuous-time systems," LSE Research Online Documents on Economics 6795, London School of Economics and Political Science, LSE Library.
    18. Marc J. M. H. Delsing & Johan H. L. Oud, 2008. "Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 58-82, February.
    19. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics.

  6. Bergstrom, A.R., 1987. "Optimal control in wide-sense stationary continuous-time stochastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 11(3), pages 425-443, September.

    Cited by:

    1. Chambers, Marcus J, 1992. "Estimation of a Continuous-Time Dynamic Demand System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(1), pages 53-64, Jan.-Marc.
    2. Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.

  7. Bergstrom, A. R., 1986. "The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data," Econometric Theory, Cambridge University Press, vol. 2(3), pages 350-373, December.

    Cited by:

    1. Thornton, Michael A. & Chambers, Marcus J., 2017. "Continuous time ARMA processes: Discrete time representation and likelihood evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 48-65.
    2. Theodore Simos, 2008. "The exact discrete model of a system of linear stochastic differential equations driven by fractional noise," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1019-1031, November.
    3. Al-Zoubi, Haitham A., 2019. "Bond and option prices with permanent shocks," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 272-290.
    4. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    5. J. Roderick McCrorie, 2000. "The Likelihood of a Continuous-time Vector Autoregressive Model," Working Papers 419, Queen Mary University of London, School of Economics and Finance.
    6. Nowman, K. Ben & Saltoglu, Burak, 2003. "Continuous time and nonparametric modelling of U.S. interest rate models," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 25-34.
    7. Oguz Asirim, 1996. "Alternative Theories of Consumption and an Application to the Turkish Economy," Discussion Papers 9604, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    8. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    9. Nowman, K. Ben, 2002. "The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 29-38.
    10. Chambers, Marcus J, 1992. "Estimation of a Continuous-Time Dynamic Demand System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(1), pages 53-64, Jan.-Marc.
    11. Michael A. Thornton & Marcus J. Chambers, 2013. "Temporal aggregation in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 13, pages 289-310, Edward Elgar Publishing.
    12. Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1-3.
    13. Jun Yu & Peter C.B. Phillips, 2001. "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers 1309, Cowles Foundation for Research in Economics, Yale University.
    14. Episcopos, Athanasios, 2000. "Further evidence on alternative continuous time models of the short-term interest rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 199-212, June.
    15. Wymer Clifford R., 2012. "Continuous-Tme Econometrics of Structural Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(2), pages 1-28, April.
    16. Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
    17. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
    18. Peter Aling & Dr. Shakill Hassan, 2012. "NoArbitrage OneFactor Models of the South African TermStructure of Interest Rates," Working Papers 4946, South African Reserve Bank.
    19. A. R. Bergstrom, 2001. "Stability and wage acceleration in macroeconomic models of cyclical growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 327-340.
    20. Roderick McCrorie, J., 2001. "Interpolating exogenous variables in continuous time dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1399-1427, September.
    21. Byers, S. L. & Nowman, K. B., 1998. "Forecasting U.K. and U.S. interest rates using continuous time term structure models," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 191-206.
    22. Michael A. Thornton & Marcus J. Chambers, 2013. "Continuous-time autoregressive moving average processes in discrete time: representation and embeddability," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 552-561, September.
    23. Milena Hoyos, 2020. "Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 249-267, March.
    24. Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.
    25. Bhaumik, Prithwish & Ghosal, Subhashis, 2017. "Bayesian inference for higher-order ordinary differential equation models," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 103-114.

  8. Bergstrom, A. R., 1985. "The Estimation of Parameters in Nonstationary Higher Order Continuous-Time Dynamic Models," Econometric Theory, Cambridge University Press, vol. 1(3), pages 369-385, December.

    Cited by:

    1. Thornton, Michael A. & Chambers, Marcus J., 2017. "Continuous time ARMA processes: Discrete time representation and likelihood evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 48-65.
    2. Theodore Simos, 2008. "The exact discrete model of a system of linear stochastic differential equations driven by fractional noise," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1019-1031, November.
    3. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    4. McCrorie, J.R. & Chambers, M.J., 2004. "Granger Causality and the Sampling of Economic Processes," Discussion Paper 2004-39, Tilburg University, Center for Economic Research.
    5. Nowman, K. Ben & Saltoglu, Burak, 2003. "Continuous time and nonparametric modelling of U.S. interest rate models," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 25-34.
    6. Oguz Asirim, 1996. "Alternative Theories of Consumption and an Application to the Turkish Economy," Discussion Papers 9604, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    7. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    8. Nowman, K. Ben, 2002. "The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 29-38.
    9. Chambers, Marcus J, 1992. "Estimation of a Continuous-Time Dynamic Demand System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(1), pages 53-64, Jan.-Marc.
    10. Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1-3.
    11. Jun Yu & Peter C.B. Phillips, 2001. "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers 1309, Cowles Foundation for Research in Economics, Yale University.
    12. Episcopos, Athanasios, 2000. "Further evidence on alternative continuous time models of the short-term interest rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 199-212, June.
    13. Wymer Clifford R., 2012. "Continuous-Tme Econometrics of Structural Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(2), pages 1-28, April.
    14. Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
    15. P. Brockwell, 2014. "Recent results in the theory and applications of CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(4), pages 647-685, August.
    16. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
    17. Peter Aling & Dr. Shakill Hassan, 2012. "NoArbitrage OneFactor Models of the South African TermStructure of Interest Rates," Working Papers 4946, South African Reserve Bank.
    18. A. R. Bergstrom, 2001. "Stability and wage acceleration in macroeconomic models of cyclical growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 327-340.
    19. Byers, S. L. & Nowman, K. B., 1998. "Forecasting U.K. and U.S. interest rates using continuous time term structure models," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 191-206.
    20. Milena Hoyos, 2020. "Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 249-267, March.
    21. Bhaumik, Prithwish & Ghosal, Subhashis, 2017. "Bayesian inference for higher-order ordinary differential equation models," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 103-114.
    22. Ramsey, James B., 1996. "On the existence of macro variables and of macro relationships," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 275-299, September.

  9. Bergstrom, A. R., 1985. "The Estimation of Nonparametric Functions in a Hilbert Space," Econometric Theory, Cambridge University Press, vol. 1(1), pages 7-26, April.

    Cited by:

    1. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    2. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.

  10. Bergstrom, Albert Rex, 1983. "Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models," Econometrica, Econometric Society, vol. 51(1), pages 117-152, January.

    Cited by:

    1. Henghsiu Tsai & K. S. Chan, 2005. "Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 691-713, September.
    2. Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series 520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Thornton, Michael A. & Chambers, Marcus J., 2017. "Continuous time ARMA processes: Discrete time representation and likelihood evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 48-65.
    4. Theodore Simos & Mike Tsionas, 2018. "Bayesian inference of the fractional Ornstein–Uhlenbeck process under a flow sampling scheme," Computational Statistics, Springer, vol. 33(4), pages 1687-1713, December.
    5. Theodore Simos, 2008. "The exact discrete model of a system of linear stochastic differential equations driven by fractional noise," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1019-1031, November.
    6. Vicky Fasen‐Hartmann & Sebastian Kimmig, 2020. "Robust estimation of stationary continuous‐time arma models via indirect inference," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 620-651, September.
    7. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    8. J. McCrorie, 2002. "The Likelihood of the Parameters of a Continuous Time Vector Autoregressive Model," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 273-286, October.
    9. J. Roderick McCrorie, 2000. "The Likelihood of a Continuous-time Vector Autoregressive Model," Working Papers 419, Queen Mary University of London, School of Economics and Finance.
    10. Diana Tunaru & Frank J. Fabozzi, 2021. "Not everyone is a follower: The behaviour of interest rate and equity markets within major economies relative to the United States," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2335-2350, April.
    11. Nowman, K. Ben & Saltoglu, Burak, 2003. "Continuous time and nonparametric modelling of U.S. interest rate models," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 25-34.
    12. Oguz Asirim, 1996. "Alternative Theories of Consumption and an Application to the Turkish Economy," Discussion Papers 9604, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    13. Lawrence J. Christiano & Martin S. Eichenbaum, 1985. "A continuous time, general equilibrium, inventory-sales model," Working Papers 361, Federal Reserve Bank of Minneapolis.
    14. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    15. Nowman, K. Ben, 2002. "The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 29-38.
    16. Chambers, Marcus J, 1992. "Estimation of a Continuous-Time Dynamic Demand System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(1), pages 53-64, Jan.-Marc.
    17. K. Nowman, 2003. "A Note on Gaussian Estimation of the CKLS and CIR Models with Feedback Effects for Japan," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 275-279, September.
    18. Michael A. Thornton & Marcus J. Chambers, 2013. "Temporal aggregation in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 13, pages 289-310, Edward Elgar Publishing.
    19. Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1-3.
    20. Jun Yu & Peter C.B. Phillips, 2001. "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers 1309, Cowles Foundation for Research in Economics, Yale University.
    21. Episcopos, Athanasios, 2000. "Further evidence on alternative continuous time models of the short-term interest rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 199-212, June.
    22. Wymer Clifford R., 2012. "Continuous-Tme Econometrics of Structural Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(2), pages 1-28, April.
    23. Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
    24. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
    25. Peter Aling & Dr. Shakill Hassan, 2012. "NoArbitrage OneFactor Models of the South African TermStructure of Interest Rates," Working Papers 4946, South African Reserve Bank.
    26. Michael Don Ward & A. K. Mahajan, 1984. "Defense Expenditures, Security Threats, and Governmental Deficits," Journal of Conflict Resolution, Peace Science Society (International), vol. 28(3), pages 382-419, September.
    27. Matteo Formenti, 2014. "Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence," Papers 1409.4890, arXiv.org.
    28. Chambers, MJ, 2016. "The Estimation of Continuous Time Models with Mixed Frequency Data," Economics Discussion Papers 15988, University of Essex, Department of Economics.
    29. A. R. Bergstrom, 2001. "Stability and wage acceleration in macroeconomic models of cyclical growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 327-340.
    30. Roderick McCrorie, J., 2001. "Interpolating exogenous variables in continuous time dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1399-1427, September.
    31. Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
    32. Nowman, K. Ben & Sorwar, Ghulam, 2005. "Derivative prices from interest rate models: results for Canada, Hong Kong, and United States," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 428-438.
    33. Byers, S. L. & Nowman, K. B., 1998. "Forecasting U.K. and U.S. interest rates using continuous time term structure models," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 191-206.
    34. Michael A. Thornton & Marcus J. Chambers, 2013. "Continuous-time autoregressive moving average processes in discrete time: representation and embeddability," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 552-561, September.
    35. Milena Hoyos, 2020. "Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 249-267, March.
    36. Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.
    37. Bhaumik, Prithwish & Ghosal, Subhashis, 2017. "Bayesian inference for higher-order ordinary differential equation models," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 103-114.
    38. Robinson, Peter, 2007. "On discrete sampling of time-varying continuous-time systems," LSE Research Online Documents on Economics 6795, London School of Economics and Political Science, LSE Library.
    39. Nowman, K. Ben, 2011. "Gaussian estimation of continuous time diffusions of UK interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(8), pages 1618-1624.

  11. A. R. Bergstrom & A. D. Brownlie, 1965. "An Econometric Model Of The New Zealand Economy," The Economic Record, The Economic Society of Australia, vol. 41(93), pages 125-126, March.

    Cited by:

    1. P. Hampton, 1970. "The New Zealand Economy," The Economic Record, The Economic Society of Australia, vol. 46(1), pages 1-13, March.
    2. V. B. Hall, 1974. "A Preliminary Model of New Zealand's Post‐war Inflation," The Economic Record, The Economic Society of Australia, vol. 50(1), pages 57-76, March.

  12. A. R. Bergstrom, 1949. "The Guaranteed Price For Dairy Products - New Zealand," The Economic Record, The Economic Society of Australia, vol. 25(2), pages 91-97, December.

    Cited by:

    1. Geoffrey T. F Brooke & Anthony M. Endres & Alan J. Rogers, 2015. "Does New Zealand Economics Have a Useful Past? The Example of Trade Policy and Economic Development," Working Papers 2015-08, Auckland University of Technology, Department of Economics.

Chapters

  1. Bergstrom, A.R., 1984. "Continuous time stochastic models and issues of aggregation over time," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 20, pages 1145-1212, Elsevier.

    Cited by:

    1. Chambers, MJ, 2001. "Testing for Unit Roots with Flow Data and Varying Sampling Frequency," Economics Discussion Papers 2761, University of Essex, Department of Economics.
    2. Tang, Cheng Yong & Chen, Song Xi, 2009. "Parameter estimation and bias correction for diffusion processes," Journal of Econometrics, Elsevier, vol. 149(1), pages 65-81, April.
    3. Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, University Library of Munich, Germany.
    4. Bosi Stefano & Ragot Lionel, 2010. "Time, Bifurcations and Economic Applications," THEMA Working Papers 2010-01, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    5. Daniela Federici & Giancarlo Gandolfo, 2002. "Endogenous Growth in an Open Economy and the Real Exchange Rate," Australian Economic Papers, Wiley Blackwell, vol. 41(4), pages 499-518, December.
    6. Belloc, Marianna & Federici, Daniela, 2007. "A Two-Country NATREX Model for the Euro/Dollar," MPRA Paper 4046, University Library of Munich, Germany.
    7. Knittel, Christopher R. & Roberts, Michael R., 2005. "An empirical examination of restructured electricity prices," Energy Economics, Elsevier, vol. 27(5), pages 791-817, September.
    8. Sentana, Enrique & Diez de los Rios, Antonio, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," CEPR Discussion Papers 6516, C.E.P.R. Discussion Papers.
    9. Theodore Simos & Mike Tsionas, 2018. "Bayesian inference of the fractional Ornstein–Uhlenbeck process under a flow sampling scheme," Computational Statistics, Springer, vol. 33(4), pages 1687-1713, December.
    10. D. Stephen G. Pollock, 2020. "Linear Stochastic Models in Discrete and Continuous Time," Econometrics, MDPI, vol. 8(3), pages 1-22, September.
    11. Vicky Fasen‐Hartmann & Sebastian Kimmig, 2020. "Robust estimation of stationary continuous‐time arma models via indirect inference," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 620-651, September.
    12. PERRON, Pierre & VODOUNOU, Cosme, 1998. "Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition," Cahiers de recherche 9815, Universite de Montreal, Departement de sciences economiques.
    13. Simos Theodore, 2012. "On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-26, November.
    14. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    15. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, June.
    16. Johan H. L. Oud & Henk Folmer & Roberto Patuelli & Peter Nijkamp, 2008. "A Spatial-Dependence Continuous-Time Model for Regional Unemployment in Germany," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0811, USI Università della Svizzera italiana.
    17. François Legendre & Djibril Togola, 2015. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Working Papers hal-01117787, HAL.
    18. J. Roderick McCrorie, 2000. "The Likelihood of a Continuous-time Vector Autoregressive Model," Working Papers 419, Queen Mary University of London, School of Economics and Finance.
    19. McCrorie, J.R. & Chambers, M.J., 2004. "Granger Causality and the Sampling of Economic Processes," Discussion Paper 2004-39, Tilburg University, Center for Economic Research.
    20. Marcus J. Chambers, 2011. "Cointegration and sampling frequency," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 156-185, July.
    21. Diana Tunaru & Frank J. Fabozzi, 2021. "Not everyone is a follower: The behaviour of interest rate and equity markets within major economies relative to the United States," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2335-2350, April.
    22. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
    23. Nowman, K. Ben & Saltoglu, Burak, 2003. "Continuous time and nonparametric modelling of U.S. interest rate models," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 25-34.
    24. Peter C.B.Phillips & Jun Yu, "undated". "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Working Papers CoFie-08-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    25. Oguz Asirim, 1996. "Alternative Theories of Consumption and an Application to the Turkish Economy," Discussion Papers 9604, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    26. Gordon, Stephen & St-Amour, Pascal, 1997. "Asset Prices with Contingent Preferences," Cahiers de recherche 9712, Université Laval - Département d'économique, revised 08 Jun 1998.
    27. M. Hashem Pesaran & Ron P. Smith, 2013. "Signs of Impact Effects in Time Series Regression Models," CESifo Working Paper Series 4433, CESifo.
    28. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    29. Nowman, K. Ben, 2002. "The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 29-38.
    30. Oisín Ryan & Ellen L. Hamaker, 2022. "Time to Intervene: A Continuous-Time Approach to Network Analysis and Centrality," Psychometrika, Springer;The Psychometric Society, vol. 87(1), pages 214-252, March.
    31. Chambers, Marcus J, 1992. "Estimation of a Continuous-Time Dynamic Demand System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(1), pages 53-64, Jan.-Marc.
    32. Tore Selland Kleppe & Jun Yu & Hans J. skaug, 2011. "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers 10-2011, Singapore Management University, School of Economics.
    33. Magnus, Jan R. & Pijls, Henk G.J. & Sentana, Enrique, 2021. "The Jacobian of the exponential function," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    34. Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007. "Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model," Tinbergen Institute Discussion Papers 07-027/4, Tinbergen Institute.
    35. Michael A. Thornton & Marcus J. Chambers, 2013. "Temporal aggregation in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 13, pages 289-310, Edward Elgar Publishing.
    36. Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1-3.
    37. J.Marcelo Ochoa, 2006. "An interpretation of an affine term structure model of Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 33(2 Year 20), pages 155-184, December.
    38. John Y. Campbell & George Chacko & Jorge Rodriguez & Luis M. Viciera, 2003. "Strategic Asset Allocation in a Continuous-Time VAR Model," NBER Working Papers 9547, National Bureau of Economic Research, Inc.
    39. John Y. Campbell & Luis M. Viceira, 1998. "Who Should Buy Long-Term Bonds?," NBER Working Papers 6801, National Bureau of Economic Research, Inc.
    40. Vos, A.F. & Steyn, I.J., 1990. "Stochastic nonlinearity : a firm basis for the flexible functional form," Serie Research Memoranda 0013, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    41. Antonio Diez de los Rios, 2006. "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Staff Working Papers 06-27, Bank of Canada.
    42. Jun Yu & Peter C.B. Phillips, 2001. "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers 1309, Cowles Foundation for Research in Economics, Yale University.
    43. Xiaohu Wang & Peter C.B. Phillips & Jun Yu, 2011. "Bias in Estimating Multivariate and Univariate Diffusions," Cowles Foundation Discussion Papers 1778, Cowles Foundation for Research in Economics, Yale University.
    44. Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
    45. Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2012. "Does stock return predictability affect ESO fair value?," European Journal of Operational Research, Elsevier, vol. 223(1), pages 188-202.
    46. Ángel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," Working Papers wp1997_9704, CEMFI.
    47. Bente Halvorsen & Bodil M. Larsen, 2008. "The Role of Heterogeneous Demand for Temporal and Structural Aggregation Bias," Discussion Papers 537, Statistics Norway, Research Department.
    48. C. R. McKenzie & Michael McAleer, 2001. "Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency," ISER Discussion Paper 0537, Institute of Social and Economic Research, Osaka University.
    49. Marcelo Ochoa, 2006. "Interpreting an Affine Term Structure Model for Chile," Working Papers Central Bank of Chile 380, Central Bank of Chile.
    50. Nieuwenhuis, Herman J. & Schoonbeek, Lambert, 1997. "Stability and the structure of continuous-time economic models," Economic Modelling, Elsevier, vol. 14(3), pages 311-340, July.
    51. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
    52. Jewitt, Giles & Roderick McCrorie, J., 2005. "Computing estimates of continuous time macroeconometric models on the basis of discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 397-416, April.
    53. Peter Aling & Dr. Shakill Hassan, 2012. "NoArbitrage OneFactor Models of the South African TermStructure of Interest Rates," Working Papers 4946, South African Reserve Bank.
    54. Matteo Formenti, 2014. "Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence," Papers 1409.4890, arXiv.org.
    55. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
    56. Pierse, R. G. & Snell, A. J., 1995. "Temporal aggregation and the power of tests for a unit root," Journal of Econometrics, Elsevier, vol. 65(2), pages 333-345, February.
    57. Chambers, MJ, 2016. "The Estimation of Continuous Time Models with Mixed Frequency Data," Economics Discussion Papers 15988, University of Essex, Department of Economics.
    58. Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J., 2014. "Maximum likelihood estimation of partially observed diffusion models," Journal of Econometrics, Elsevier, vol. 180(1), pages 73-80.
    59. Johan Oud & Robert Jansen, 2000. "Continuous time state space modeling of panel data by means of sem," Psychometrika, Springer;The Psychometric Society, vol. 65(2), pages 199-215, June.
    60. Nowman, Khalid Ben, 2010. "Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 334-341, December.
    61. Meritxell Albertí & Ángel León & Gerard Llobet, 2003. "Evaluation of a Taxi Sector Reform: A Real Options Approach," Working Papers wp2003_0312, CEMFI.
    62. Samuel N. Cohen & Silvia Lui & Will Malpass & Giulia Mantoan & Lars Nesheim & 'Aureo de Paula & Andrew Reeves & Craig Scott & Emma Small & Lingyi Yang, 2023. "Nowcasting with signature methods," Papers 2305.10256, arXiv.org.
    63. Roderick McCrorie, J., 2001. "Interpolating exogenous variables in continuous time dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1399-1427, September.
    64. Perron, Pierre & Vodounou, Cosme, 2004. "Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 203-230, March.
    65. Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
    66. Mamingi Nlandu, 2017. "Beauty and Ugliness of Aggregation over Time: A Survey," Review of Economics, De Gruyter, vol. 68(3), pages 205-227, December.
    67. Nowman, K. Ben & Sorwar, Ghulam, 2005. "Derivative prices from interest rate models: results for Canada, Hong Kong, and United States," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 428-438.
    68. Byers, S. L. & Nowman, K. B., 1998. "Forecasting U.K. and U.S. interest rates using continuous time term structure models," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 191-206.
    69. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
    70. Kevin Fergusson, 2020. "Forecasting inflation using univariate continuous‐time stochastic models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 37-46, January.
    71. Emma M. Iglesias & Garry D. A. Phillips, 2020. "Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 357-364, March.
    72. Sjoo, Boo, 1996. "Dynamic adjustment and long-run economic stability," Economic Modelling, Elsevier, vol. 13(3), pages 427-462, July.
    73. Frank J. Fabozzi & Francesco A. Fabozzi & Diana Tunaru, 2023. "A comparison of multi-factor term structure models for interbank rates," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 323-356, July.
    74. Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.
    75. Ralf Korn & Bilgi Yilmaz, 2022. "House Prices as a Result of Trading Activities: A Patient Trader Model," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 281-303, June.
    76. Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).
    77. Hernández Juan R., 2016. "Unit Root Testing in ARMA Models: A Likelihood Ratio Approach," Working Papers 2016-03, Banco de México.
    78. Hernández, Juan R., 2016. "Unit Root Testing in ARMA Models: A Likelihood Ratio Approach," MPRA Paper 100857, University Library of Munich, Germany.

Books

  1. Bergstrom,Albert Rex & Nowman,Khalid Ben, 2007. "A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends," Cambridge Books, Cambridge University Press, number 9780521875493.

    Cited by:

    1. Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series 520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Thornton, Michael A. & Chambers, Marcus J., 2017. "Continuous time ARMA processes: Discrete time representation and likelihood evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 48-65.
    3. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    4. Peter Phillips, 2010. "Two New Zealand pioneer econometricians," New Zealand Economic Papers, Taylor & Francis Journals, vol. 44(1), pages 1-26.
    5. Peter C.B.Phillips & Jun Yu, "undated". "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Working Papers CoFie-08-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    6. Enrico Saltari & Clifford Wymer & Daniela Federici & Marilena Giannetti, 2011. "The impact of ICT on the Italian productivity dynamics," Working Papers in Public Economics 149, University of Rome La Sapienza, Department of Economics and Law.
    7. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    8. Michael A. Thornton & Marcus J. Chambers, 2013. "Temporal aggregation in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 13, pages 289-310, Edward Elgar Publishing.
    9. Bernd Hayo & Britta Niehof, 2014. "Monetary and Fiscal Policy in Times of Crises: A New Keynesian Perspective in Continuous Time," MAGKS Papers on Economics 201455, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    10. William Barnett & Evgeniya Aleksandrovna Duzhak, 2008. "Empirical Assessment of Bifurcation Regions within New Keynesian Models," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200811, University of Kansas, Department of Economics, revised Oct 2008.
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