Continuous-Time Linear Models

ISBN-13: 9781601985866 / Angielski / Miękka / 2012 / 72 str.

John Cochrane

Opis

Discrete-time linear ARMA processes and lag operator notation are convenient for lots of calculations. Continuous-time representations often simplify economic models, and can handle interesting nonlinearities as well. But standard treatments of continuous-time processes typically don't mention how to adapt the discrete-time linear model concepts and lag operator methods to continuous time. Continuous-Time Linear Models attempts that translation and exposits the techniques to make the translation from familiar discrete-time ideas. The concluding section of this monograph collects the important formulas in one place. The author assumes a basic knowledge of discrete-time time-series representation methods and continuous-time representations.

Spis treści

• Introduction.
• Linear Models and Lag Operators.
• Moving Average Representation and Moments.
• ARMA Models.
• Differences.
• Impulse-response Function.
• Hansen-Sargent formulas.
• Integration and Cointegration.
• Summary.
• References