Continuous-time models in macroeconomics: specification and estimation

Continuous Time Model Estimation

“…Note that there is a flow-variable-stock-variable problem in the literature of continuous time econometrics (see Bergstrom 1990, andWymer 1993). The source of this problem is that the stock variable takes the instantaneous value at the sampling time point, and the flow variable takes the average value within the sampling time interval.…”

“…Continuous time models usually have a tight connection to economic theory, and offer more insights to the underlying real world systems or processes. For this reason Bergstrom (1990), Gandolfo (1993) and Wymer (1993) recommended, developed and applied continuous time econometrics.…”

Structural Nonlinear Continuous-Time Models in Econometrics

“…Such a test would indicate whether the order of the continuous model was consistent with the data. Other tests that can be used to indicate whether the equations of the system are of the correct order are discussed by Wymer (1993aWymer ( , 1996.…”

“…1. References to other work in this area are given by Wymer (1993aWymer ( , 1996. Other estimators of continuous systems, often in the frequency domain, have been developed by A.W.…”

The economic consequences of water utility disruptions

“…Continuous time models better manage the mismatch between the time intervals involved in water disruption events (days and hours) and the typical observation interval of the data used for modeling purposes (months and years) (Donaghy et al, 2007). Other advantages of continuous models include the use of disequilibrium adjustment processes, the ability to incorporate distributed lags, the use of differential instead of difference equations and the better treatment of stock and flow relationships (Gandolfo, 1993;Wymer, 1993).…”