34 Pages Posted: 14 Jun 2012 Last revised: 5 Sep 2012
Date Written: June 14, 2012
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.
Keywords: continuous time linear models, ARMA, cointegration prediction
JEL Classification: C1
Suggested Citation: 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: https://ssrn.com/abstract=2084437 or http://dx.doi.org/10.2139/ssrn.2084437