The representation and estimation of continuous time systems with mixed data – By Michael Thornton

AFD - 75012
25 January 2019 to 25 January 2019 15h - 17h

The next session of the Research Seminar of the Chair Energy and Prosperity will take place on Friday  25 of January at 03:00 PM at the Agence Française de Développement. We will receive Michael Thornton (University of York) for an initial speach on:

The representation and estimation of continuous time systems with mixed data.

Econometric analysis often overlooks the fact that economic activity takes place continuously through time while the statistics related to that activity are collected only at regular intervals.  We discuss recent developments in the representation and estimation of continuous time linear systems in discrete time.  Taking the general case of mixed stock (observed at a single point in time) and flow (aggregated over an interval) variables, we discuss state space and exact discrete time representations, we compare likelihood evaluation based on an exact discrete time representation with that using the Kalman filter.  The analysis is extended to the case where data are available at mixed frequencies, showing how the parameters of the underlying model translate into those of an equivalent model of the aggregated data.  Simulation evidence suggests that these estimators have superior properties to the traditional approach of concentrating the data to a single low frequency.  The techniques are applied to explore the relationship between dividends and stock prices and between the oil price and gdp.


Date :  25 of January 2019 from 03PM to 05PM

Place :  AFD – 5 Rue Roland Barthes, 75012 Paris – Room E06 100

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The research seminar of the Chair Energy & Prosperity is organized by Adrien Nguyen Huu et Floren Mc Isaac, resserach associate. It is hosted by l’AFD.

> Find here the list of the previous session and the speekers’ presentations