Estimating Continuous-Time Processes Subject to Time Deformation
Open Access
- 1 March 1988
- journal article
- application
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 83 (401) , 77-85
- https://doi.org/10.1080/01621459.1988.10478567
Abstract
A class of time series models is presented in which variables evolve on a data-based rather than calendar time scale. The discrete calendar-time model thus obtained exhibits time-varying parameters and conditional heteroscedasticity. Using a procedure based on the Kalman filter, univariate models are estimated for postwar U.S. real gross national product (GNP) and short- and long-term interest rates. The results indicate significant time scale nonlinearities.Keywords
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