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Discretization of stochastic differential equations and econometric forecasting: An application to time-varying autoregressions

โœ Scribed by Salih N. Neftci


Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
656 KB
Volume
13
Category
Article
ISSN
0277-6693

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โœฆ Synopsis


Continuous time versions of time varying Vector Autoregressions are stochastic differential equations. Optimal discretization of Stochastic Differential Equations cannot be obtained by replacing all differentials by the corresponding first differences. In this paper we obtain the optimal discretization for time varying VARS. The results are applied to predicting the consumer price index.


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