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:
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