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An Exact Discrete Analog to a Closed Linear First-Order Continuous-Time System with Mixed Sample

Published online by Cambridge University Press:  11 February 2009

Terence D. Agbeyegbe
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Abstract

This article deals with the derivation of the exact discrete model that corresponds to a closed linear first-order continuous-time system with mixed stock and flow data. This exact discrete model is (under appropriate additional conditions) a stationary autoregressive moving average time series model and may allow one to obtain asymptotically efficient estimators of the parameters describing the continuous-time system.

Type
Brief Report
Information
Econometric Theory , Volume 3 , Issue 1 , February 1987 , pp. 143 - 149
Copyright
Copyright © Cambridge University Press 1987

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References

REFERENCES

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