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Estimation of Continuous Time Models in Economics: an Overview

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  • Clifford R. Wymer

    (Dipartimento di Economia, Sapienza University of Rome Italy)

Abstract

The dynamics of economic behaviour is often developed in theory as a continuous time system. Rigorous estimation and testing of such systems, and the analysis of some aspects of their properties, is of particular importance in distinguishing between competing hypotheses and the resulting models. The consequences for the international economy during the past eighteen months of failures in the financial sector, and particularly the banking sector, make it essential that the dynamics of financial and commodity markets and of macro-economic policy are well understood. The nonlinearity of the economic system means that it’s properties are heavily dependent on it’s parameter values. The estimators discussed here are tools to provide those parameter estimates.

Suggested Citation

  • Clifford R. Wymer, 2009. "Estimation of Continuous Time Models in Economics: an Overview," Working Papers - Dipartimento di Economia 7, Dipartimento di Economia, Sapienza University of Rome, revised 2009.
    • Handle: RePEc:des:wpaper:17
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    References listed on IDEAS

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    1. Giorgio Calcagnini & Enrico Saltari (ed.), 2009. "The Economics of Imperfect Markets," Contributions to Economics, Springer, number 978-3-7908-2131-4.
    2. Enrico Saltari & Giuseppe Travaglini & Clifford R. Wymer, 2010. "Investment, Productivity and Employment in the Italian Economy," Contributions to Economics, in: Giorgio Calcagnini & Enrico Saltari (ed.), The Economics of Imperfect Markets, chapter 0, pages 113-136, Springer.
    3. Russel Cooper & Kieran Donaghy & Geoffrey Hewings (ed.), 2007. "Globalization and Regional Economic Modeling," Advances in Spatial Science, Springer, number 978-3-540-72444-5, February.
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