Abstract
Most modelling of economic time series works with discrete time, yet time is in fact continuous. While in many instances simple intuitive connections exist between results with discrete time data and the underlying continuous time dynamics, it is possible for discretization to create bias or have unintuitive effects. Some economics literature investigates such distortions. It is also possible to estimate explicitly continuous-time models, using discrete data. This approach raises its own difficulties, but has become more usable as computing power and the techniques to exploit it have improved.
This chapter was originally published in The New Palgrave Dictionary of Economics, 2nd edition, 2008. Edited by Steven N. Durlauf and Lawrence E. Blume
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Sims, C.A. (2008). 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_329-2
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DOI: https://doi.org/10.1057/978-1-349-95121-5_329-2
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Publisher Name: Palgrave Macmillan, London
Online ISBN: 978-1-349-95121-5
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Chapter history
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Latest
Continuous and Discrete Time Models- Published:
- 20 March 2017
DOI: https://doi.org/10.1057/978-1-349-95121-5_329-2
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Original
Continuous and Discrete Time Models- Published:
- 09 November 2016
DOI: https://doi.org/10.1057/978-1-349-95121-5_329-1