Continuous-Time Linear Models

34 Pages Posted: 22 Jun 2012 Last revised: 6 Mar 2023

See all articles by John H. Cochrane

John H. Cochrane

Hoover Institution; National Bureau of Economic Research (NBER)

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Date Written: June 2012

Abstract

I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas.

Suggested Citation

Cochrane, John H., Continuous-Time Linear Models (June 2012). NBER Working Paper No. w18181, Available at SSRN: https://ssrn.com/abstract=2089253

John H. Cochrane (Contact Author)

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HOME PAGE: http://www.johnhcochrane.com/

National Bureau of Economic Research (NBER)

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