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~institution:"Elinkeinoelämän Tutkimuslaitos"
~institution:"National Bureau of Economic Research"
~institution:"Université de Montréal / Département de sciences économiques"
~subject:"Kointegration"
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Elinkeinoelämän Tutkimuslaitos
National Bureau of Economic Research
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Continuous-Time Linear Models
Cochrane, John H.
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2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10012460479
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