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The History of Continuous-Time Econometric Models

Published online by Cambridge University Press:  18 October 2010

A. R. Bergstrom
A. R. Bergstrom*
Affiliation:
University of Essex
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Extract

Although it is only during the last decade that continuous-time models have been extensively used in applied econometric work, the development of statistical methods applicable to such models commenced over 40 years ago. The first significant contribution to the problem of estimating the parameters of continuous-time stochastic models from discrete data was made by the British statistician Bartlett [1946] only three years after the pioneering contribution of Haavelmo [1943] on simultaneous equations models. Moreover, by this time the fundamental mathematical theory of continuous-time stochastic models was already well developed, major contributions having been made by some of the leading mathematicians of the twentieth century, including Einstein, Weiner, and Kolmogorov.

Type
Research Article
Information
Econometric Theory , Volume 4 , Issue 3 , December 1988 , pp. 365 - 383
Copyright
Copyright © Cambridge University Press 1988 

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