Continuous-time econometrics : theory and applications

Giancarlo Gandolfo

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Monetary Policy and Economic Impact Economic theories and models Statistical and numerical algorithms

Abstract

Continuous-time econometrics has come of age. The history of continuous-time econometric models. Continuous-time models in macroeconomics: specification and estimation. An approximation to the covariance matrix of a mixed-sample system. Finite-sample properties of the Gaussian estimation of an open higher-order continuous-time dynamic model with mixed stock and flow data. Aggregation over time, space and individuals in economic modelling: a generating mechanism approach. Capital liberalization and exchange rate expectations: the Italian case. A continuous-time model of the United States economy. CONTIMOS - a continuous time econometric model for Sweden based on monthly data. Flexible functional forms and generalized dynamic adjustment in the specification of the demand for money.

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