Continuous-Time Econometrics Theory and applications
Continuous-time econometrics is no longer an esoteric subject although most still regard it as such, so much so that it is hardly mentioned in standard textbooks on econometrics. Thanks to the work done in the last 20 years, both the theoretical and the a
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INTERNATIONAL STUDIES IN ECONOMIC MODELLING
Series Editor
Homa Motamen-Scobie Executive Director European Economics and Financial Centre POBox 2498 London W2 4 LE Tel: (071) 229-0402 Fax: (071) 221-5118
1 Economic Modelling in the OECD Countries H. Motamen-Scobie 2 Modelling the Labour Market M. Beenstock 3 Input-Output Analysis M. Ciaschini 4 Models of Disequilibrium and Shortage in Centrally Planned Economies C. Davis and W. Charemza 5 Economic Modelling at the Bank of England S. G. B. Henry and K. D. Patterson 6 Recent Modelling Approaches in Applied Energy Economics O. Bjerkholt, O. 0lsen and]. Vislie 7 International Commodity Market Models O. Giivenen, W. C. Labys and ]. B. Lesourd 8 Dynamic Models for the Inter-relations of Real and Financial Growth H. Ekstedt and L. Westberg 9 Economic Models of Trade Unions P. Garonna, P. Mori and P. Tedeschi 10 International Energy Economics Thomas Sterner 11 International Trade Modelling M. G. Dagenais and P-A Muek 12 Continuous-Time Econometrics Theory and Applications Giancarlo Gandolfo
Continuous-Time Econometrics Theory and applications Edited by
Giancarlo Gandolfo Professor of International Economics, Faculty of Economics and Commerce, University of Rome 'La Sapienza', Italy
An Applied Econometrics Association Volume
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SPRINGER-SCIENCE+BUSINESS MEDIA, B.V
First edition 1993 © 1993 Springer Science+Business Media Dordrecht Originally published by Kluwer Academic Publishers in 1993 Softcover reprint ofthe hardcover lst edition 1993
Typeset in India by Pure Tech Corporation, Pondicherry, India ISBN 978-94-010-4673-2 ISBN 978-94-011-1542-1 (eBook) DOI 10.1007/978-94-011-1542-1 Apart from any fair dealing for the purposes of research or private study, or criticism or review, as permitted under the UK Copyright Designs and Patents Act, 1988, this publication may not be reproduced, stored, or transmitted, in any form or by any means, without the prior permission in writing of the publishers, or in the case of reprographic reproduction only in accordance with the terms of the licences issued by the Copyright Licensing Agency in the UK, or in accordance with the terms of licences issued by the appropriate Reproduction Rights Organization outside the UK. Enquiries concerning reproduction outside the terms stated here should be sent to the publishers at the London address printed on this page. The publisher makes no representation, express or implied, with regard to the accuracy of the information contained in this book and cannot accept any legal responsibility or liability for any errors or omissions that may be made. A catalogue record for this book is available from the British Library Library of Congress Cataloging-in-Publication data available @lPrinted on permanent acid-free text paper, manufactured in accordance with the proposed ANSIINISO Z 39.48-199X and ANSI Z 39.48-1984
To my mother There Chiarotti
Contents
Contributors
IX
Introduction to the series
XI
Preface 1 Continuous-time econometrics has come of age Giancarlo Gandolfo 2 The history of co
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