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Estimating Continuous-Time Models On The Basis Of Discrete Data Via An Exact Discrete Analog

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  • McCrorie, J. Roderick

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.

Suggested Citation

  • McCrorie, J. Roderick, 2009. "Estimating Continuous-Time Models On The Basis Of Discrete Data Via An Exact Discrete Analog," Econometric Theory, Cambridge University Press, vol. 25(4), pages 1120-1137, August.
    • Handle: RePEc:cup:etheor:v:25:y:2009:i:04:p:1120-1137_09
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    Cited by:

    1. Matteo Formenti, 2014. "Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence," Papers 1409.4890, arXiv.org.
    2. Ewald, Christian & Hadina, Jelena & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Yahya, Muhammad, 2023. "Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures," Finance Research Letters, Elsevier, vol. 58(PA).
    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. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.

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