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DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA

Published online by Cambridge University Press:  01 August 2009

Marcus J. Chambers
Marcus J. Chambers*
Affiliation:
University of Essex
*
*Address correspondence to Professor Marcus J. Chambers, Department of Economics, University of Essex, Wivenhoe Park, Colchester, Essex CO4 3SQ, England. Tel: +44 1206 872756; fax: +44 1206 872724; e-mail: mchamb@essex.ac.uk.
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Abstract

This paper derives an exact discrete time representation corresponding to a triangular cointegrated continuous time system with mixed stock and flow variables and observable stochastic trends. The discrete time model inherits the triangular structure of the underlying continuous time system and does not suffer from the apparent excess differencing that has been found in some related work. It can therefore serve as a basis for the study of the asymptotic sampling properties of estimators of the model's parameters. Some further analytical and computational results that enable Gaussian estimation to be implemented are also provided.

Type
ARTICLES
Information
Econometric Theory , Volume 25 , Issue 4: Bergstrom Memorial Dedication Issue , August 2009 , pp. 1030 - 1049
Copyright
Copyright © Cambridge University Press 2009

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