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Continuous-time modelling in econometrics and engineering - juli 2002

Authors
Disciplines
  • Engineering

Abstract

This paper discusses a widely used discrete-time analog of dynamic continuous-time models. This analog can not be used for the estimation of models with fast adaption to shocks. This has been overlooked in the econometric literature. In the engineering literature this same analogon is defined, using other names and other notation. Here warnings can be found against the estimation of fast models. The engineering literature is ignored in the econometric literature.

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