Continuous-Time Linear Models

John H. Cochrane

University of Chicago - Booth School of Business; Hoover Institution; National Bureau of Economic Research (NBER)

June 14, 2012

Chicago Booth Research Paper No. 12-27
Fama-Miller Working Paper

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

Number of Pages in PDF File: 34

Keywords: continuous time linear models, ARMA, cointegration prediction

JEL Classification: C1

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Date posted: June 14, 2012 ; Last revised: September 5, 2012

Suggested Citation

Cochrane, John H., Continuous-Time Linear Models (June 14, 2012). Chicago Booth Research Paper No. 12-27; Fama-Miller Working Paper. Available at SSRN: http://ssrn.com/abstract=2084437 or http://dx.doi.org/10.2139/ssrn.2084437

Contact Information

John H. Cochrane (Contact Author)
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-3059 (Phone)
773-702-0458 (Fax)
HOME PAGE: http://faculty.chicagobooth.edu/john.cochrane/research/Papers/

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Hoover Institution ( email )
Stanford, CA 94305-6010
United States
National Bureau of Economic Research (NBER)
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Cambridge, MA 02138
United States
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