Estimating Continuous-Time Processes Subject to Time Deformation

James H. Stock

129 citations0/0 files storedJournal of the American Statistical Association

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Monetary Policy and Economic Impact Control Systems and Identification Statistical and numerical algorithms

Abstract

A class of time series models is presented in which variables evolve on a data-based rather than calendar time scale. The discrete calendar-time model thus obtained exhibits time-varying parameters and conditional heteroscedasticity. Using a procedure based on the Kalman filter, univariate models are estimated for postwar U.S. real gross national product (GNP) and short- and long-term interest rates. The results indicate significant time scale nonlinearities.

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1982Trends and random walks in macroeconmic time series 1947Measuring Business Cycles 1984Are Economic Time Series Asymmetric over the Business Cycle?1982Monetary Trends in the United States and the United Kingdom 1985Trends and Cycles in Macroeconomic Time Series 1947Measuring Business Cycles.1982Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates, 1867-1975

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2002Multifractality in Asset Returns: Theory and Evidence 2000Economic fluctuations and anomalous diffusion 1995Fractals and Intrinsic Time - a Challenge to Econometricians 2002FX Trading and Exchange Rate Dynamics 1999Intra-day market activity 2000Scaling and correlation in financial time series

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