Chambers, Marcus and Thornton, Michael Alan orcid.org/0000-0002-4470-809X (2012) DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES. Econometric Theory. 219 -238. ISSN 0266-4666
Abstract
This paper derives exact discrete time representations for data generated by a continuous time autoregressive moving average (ARMA) system with mixed stock and flow data. The representations for systems comprised entirely of stocks or of flows are also given. In each case the discrete time representations are shown to be of ARMA form, the orders depending on those of the continuous time system. Three examples and applications are also provided, two of which concern the stationary ARMA(2, 1) model with stock variables (with applications to sunspot data and a short-term interest rate) and one concerning the nonstationary ARMA(2, 1) model with a flow variable (with an application to U.S. nondurable consumers’ expenditure). In all three examples the presence of an MA(1) component in the continuous time system has a dramatic impact on eradicating unaccounted-for serial correlation that is present in the discrete time version of the ARMA(2, 0) specification, even though the form of the discrete time model is ARMA(2, 1) for both models.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 12 Jul 2013 00:06 |
Last Modified: | 24 Feb 2025 00:03 |
Published Version: | https://doi.org/10.1017/S0266466611000181 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1017/S0266466611000181 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:64525 |