Continuous-Time Linear Models

34 Pages Posted: 14 Jun 2012 Last revised: 5 Sep 2012

John H. Cochrane

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

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Date Written: June 14, 2012

Abstract

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

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

John H. Cochrane (Contact Author)

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National Bureau of Economic Research (NBER)

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University of Chicago - Booth School of Business ( email )

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