Abstract
Most economists recognize that the use of discrete time is only an approximation, but assume (usually implicitly) that the error of approximation involved is trivially small relative to the other sorts of simplification and approximation inherent in economic theorizing. We consider below first the conditions under which this convenient assumption may be seriously misleading. We discuss briefly how to proceed when the assumption fails and the state of continuous time economic theory.
This chapter was originally published in The New Palgrave: A Dictionary of Economics, 1st edition, 1987. Edited by John Eatwell, Murray Milgate and Peter Newman.
This is a preview of subscription content, log in via an institution to check access.
Bibliography
Bergstrom, A.R. (ed). 1976. Statistical inference in continuous time economic models. Amsterdam: North-Holland.
———. 1983. Gaussian estimation of structural parameters in higher order continuous time dynamic models. Econometrica 51: 117–152.
Geweke, J. 1978. Temporal aggregation in the multiple regression model. Econometrica 46: 643–662.
Grossman, S., Melino, A. and Shiller, R. 1985. Estimating the continuous time consumption based capital asset pricing model. National Bureau of Economic Research Working Paper No.1643.
Hansen, L.P. and Sargent, T.J. 1981. Formulating and estimating continuous time rational expectations models. Federal Reserve Bank of Minneapolis Staff Report No. 75.
Harrison, J.M., R. Pitbladdo, and S.M. Schaefer. 1984. Continuous price processes in frictionless markets have infinite variation. Journal of Business 57: 353–365.
Rosanov, Y.A. 1967. Stationary random processes. San Francisco: Holden-Day.
Sims, C.A. 1971. Approximate specifications in distributed lag models. In Proceedings of the 38th Session, Bulletin of the International Statistical Institute 44, Book I, 285–94.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Copyright information
© 1987 The Author(s)
About this entry
Cite this entry
Sims, C.A. (1987). Continuous and Discrete Time Models. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95121-5_329-1
Download citation
DOI: https://doi.org/10.1057/978-1-349-95121-5_329-1
Received:
Accepted:
Published:
Publisher Name: Palgrave Macmillan, London
Online ISBN: 978-1-349-95121-5
eBook Packages: Springer Reference Economics and FinanceReference Module Humanities and Social SciencesReference Module Business, Economics and Social Sciences
Publish with us
Chapter history
-
Latest
Continuous and Discrete Time Models- Published:
- 20 March 2017
DOI: https://doi.org/10.1057/978-1-349-95121-5_329-2
-
Original
Continuous and Discrete Time Models- Published:
- 09 November 2016
DOI: https://doi.org/10.1057/978-1-349-95121-5_329-1