The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Continuous and Discrete Time Models

  • Christopher A. Sims
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_329

Abstract

Most modelling of economic time series works with discrete time, yet time is in fact continuous. While in many instances simple intuitive connections exist between results with discrete time data and the underlying continuous time dynamics, it is possible for discretization to create bias or have unintuitive effects. Some economics literature investigates such distortions. It is also possible to estimate explicitly continuous-time models, using discrete data. This approach raises its own difficulties, but has become more usable as computing power and the techniques to exploit it have improved.

Keywords

Approximation theory Continuous and discrete time models Distributed lags Dynamic stochastic general equilibrium models Granger causal priority Markov chain Monte Carlo methods Martingales No-arbitrage models Stochastic differential equations Vector autoregressions Wiener process 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Christopher A. Sims
    • 1
  1. 1.