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Continuous-Time Linear Models
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.
1113530054
Continuous-Time Linear Models
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.
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Continuous-Time Linear Models

Continuous-Time Linear Models

by John Cochrane
Continuous-Time Linear Models

Continuous-Time Linear Models

by John Cochrane

Overview

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.

Product Details

ISBN-13: 9781601985866
Publisher: Now Publishers
Publication date: 11/19/2012
Series: Foundations and Trends in Finance , #22
Pages: 72
Product dimensions: 6.14(w) x 9.21(h) x 0.15(d)

Table of Contents

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
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