Continuous-Time Linear Models
John H. Cochrane
Hoover Institution; National Bureau of Economic Research (NBER); University of Chicago - Booth School of Business
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
Date posted: June 14, 2012 ; Last revised: September 5, 2012
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