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.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Bibliography
AÑ—t-Sahalia, Y. 2007. Estimating continuous-time models using discretely sampled data. In Advances in economics and econometrics, theory and applications. Ninth World Congress, ed. R. Blundell, T. Persson, and W.K. Newey, vol. 3. Cambridge: Cambridge University Press.
Bergstrom, A.R., ed. 1976. Statistical inference in continuous time economic models. Amsterdam: North-Holland.
Bergstrom, A.R. 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.
Hansen, L.P., and T.J. Sargent, eds. 1991. Rational expectations econometrics. Boulder and Oxford: Westview Press.
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.
Johannes, M., and N. Polson. 2006. MCMC methods for continuous-time financial econometrics. In Handbook of financial econometrics, ed. Y. Aït-Sahalia and L.P. Hansen. Amsterdam: North-Holland.
Marcet, A. 1991. Temporal aggregation of economic time series. In Rational expectations econometrics, ed. L.P. Hansen and T.J. Sargent. Boulder and Oxford: Westview Press.
Rozanov, Yu.A. 1967. Stationary random processes, trans A. Feinstein. San Francisco/Cambridge/London/Amsterdam: 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 1.
Sims, C.A., and S. Maheswaran. 1993. Empirical implications of arbitrage-free asset markets. In Models, methods and applications of econometrics, ed. P.C.B. Phillips. Oxford: Blackwell.
Author information
Authors and Affiliations
Editor information
Copyright information
© 2018 Macmillan Publishers Ltd.
About this entry
Cite this entry
Sims, C.A. (2018). Continuous and Discrete Time Models. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_329
Download citation
DOI: https://doi.org/10.1057/978-1-349-95189-5_329
Published:
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-95188-8
Online ISBN: 978-1-349-95189-5
eBook Packages: Economics and FinanceReference Module Humanities and Social SciencesReference Module Business, Economics and Social Sciences