Hostname: page-component-74656f9884-c52kr Total loading time: 0 Render date: 2026-11-09T05:11:32.942Z Has data issue: false hasContentIssue false
  • English
  • Français

REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING

Published online by Cambridge University Press:  01 August 2009

K. Ben Nowman
K. Ben Nowman*
Affiliation:
University of Westminster
*
*Address correspondence to Professor K. Ben Nowman, Westminster Business School, University of Westminster, 35 Marylebone Road, London NW1 5LS, England; email: nowmank@wmin.ac.uk.
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the 'Save PDF' action button.

This paper reviews the contributions of Rex Bergstrom to the development of continuous time dynamic disequilibrium macroeconomic modeling since the early 1960s. The models provide an elegant integration of economic theory with analysis of steady state and stability properties. The subsequent contributions of his Ph.D. students, spawned by Bergstrom’s work over the years, is also reviewed. It was Bergstrom’s early pioneering vision 40 years ago of formulating and estimating continuous time models that underlies much of the research in that area of econometrics and finance today.

Information

Type
ARTICLES
Information
Econometric Theory , Volume 25 , Issue 4: Bergstrom Memorial Dedication Issue , August 2009 , pp. 1087 - 1098
Copyright
Copyright © Cambridge University Press 2009

References

REFERENCES

Agbeyegbe, T.D. (1983) Topics in Continuous Time Econometrics. Ph.D. thesis, University of Essex.Google Scholar
Agbeyegbe, T.D. (1984) The exact discrete analog to a closed linear mixed-order system. Journal of Economics Dynamics and Control 7, 363–375.CrossRefGoogle Scholar
Agbeyegbe, T.D. (1987) An exact discrete analog to a closed linear first-order system with mixed sample. Econometric Theory 3, 142–149.CrossRefGoogle Scholar
Agbeyegbe, T.D. (1988) An exact discrete analog of an open linear non-stationary first-order continuous time system with mixed sample. Journal of Econometrics 39, 237–250.CrossRefGoogle Scholar
Babbs, S.H. & Nowman, K.B. (1999) Kalman filtering of generalized Vasicek term structure models. Journal of Financial and Quantitative Analysis 34, 115–130.CrossRefGoogle Scholar
Bandi, F.M. & Phillips, P.C.B. (2003) Fully nonparametric estimation of scalar diffusion models. Econometrica 71, 241–283.CrossRefGoogle Scholar
Bergstrom, A.R. (1962) A model of technical progress, the production function and cyclical growth. Economica 29, 357–370.CrossRefGoogle Scholar
Bergstrom, A.R. (1966a) Monetary phenomena and economic growth: A synthesis of neoclassical and Keynesian theories. Economic Studies Quarterly 17, 1–8.Google Scholar
Bergstrom, A.R. (1966b) Non-recursive models as discrete approximations to systems of stochastic differential equations. Econometrica 34, 173–182.CrossRefGoogle Scholar
Bergstrom, A.R. (1967) The Construction and Use of Economic Models. The English Universities Press Ltd.; also published as Selected Economic Studies. American Elsevier; also translated into Japanese.Google Scholar
Bergstrom, A.R. (1983) Gaussian estimation of structural parameters in higher-order continuous time dynamic models. Econometrica 51, 117–152.CrossRefGoogle Scholar
Bergstrom, A.R. (1986) The estimation of open higher-order continuous time dynamic models with mixed stock and flow data. Econometric Theory 2, 350–373.Google Scholar
Bergstrom, A.R. (1987) Optimal control in wide-sense stationary continuous time stochastic models. Journal of Economic Dynamics and Control 11, 425–443.CrossRefGoogle Scholar
Bergstrom, A.R. (1990) Continuous Time Econometric Modelling. Oxford University Press.Google Scholar
Bergstrom, A.R. (1997) Gaussian estimation of mixed order continuous time dynamic models with unobservable stochastic trends from mixed stock and flow data. Econometric Theory 13, 467–505.CrossRefGoogle Scholar
Bergstrom, A.R. (2000) The growth articles. In Leeson, R. (eds.),A.W.H. Phillips: Collected Works in Contemporary Perspective, pp. 190–194. Cambridge University Press.Google Scholar
Bergstrom, A.R. & Chambers, M.J. (1990) Gaussian estimation of a continuous time model of demand for consumer durable goods with applications to demand in the United Kingdom, 1973–84. In Bergstrom, A.R. (ed.), Continuous Time Econometric Modelling, pp. 279–319. Oxford University Press.Google Scholar
Bergstrom, A.R. & Nowman, K.B. (1999) Gaussian estimation of a two-factor continuous time model of the short-term interest rate. Economic Notes 28, 25–41.CrossRefGoogle Scholar
Bergstrom, A.R. & Nowman, K.B. (2007) A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends. Cambridge University Press.CrossRefGoogle Scholar
Bergstrom, A.R., Nowman, K.B., & Wandasiewicz, S. (1994) Monetary and fiscal policy in a second order continuous time macroeconometric model of the United Kingdom. Journal of Economics Dynamics and Control 18, 731–761.CrossRefGoogle Scholar
Bergstrom, A.R., Nowman, K.B., & Wymer, C.R. (1992) Gaussian estimation of a second order continuous time macroeconometric model of the United Kingdom. Economic Modelling 9, 313–351.CrossRefGoogle Scholar
Bergstrom, A.R. & Wymer, C.R. (1976) A model of disequilibrium neoclassical growth and its application to the United Kingdom. In Bergstrom, A.R. (ed.) Statistical Inference in Continuous Time Economic Models, pp. 267–327. North-Holland.Google Scholar
Brennan, M.J. & Schwartz, E.S. (1979) A continuous time approach to the pricing of bonds. Journal of Banking and Finance 3, 133–155.CrossRefGoogle Scholar
Chambers, M.J. (1989) Durability and Consumers Demand: Gaussian Estimation of Some Continuous Time Models. Ph.D. thesis, University of Essex.Google Scholar
Chambers, M.J. (1991) Discrete models for estimating general linear continuous time systems. Econometric Theory 7, 531–542.CrossRefGoogle Scholar
Chambers, M.J. (1992) Estimation of a continuous time dynamic demand system. Journal of Applied Econometrics 7, 53–64.Google Scholar
Chambers, M.J. (1993) Forecasting with continuous time and discrete-time series models: An empirical comparison. In Phillips, P.C.B. (ed.), Models, Methods and Applications of Econometrics: Essays in Honor of A.R. Bergstrom, pp. 37–54. Blackwell.Google Scholar
Chambers, M.J. (1996) The estimation of continuous parameter long-memory time series models. Econometric Theory 12, 374–390.Google Scholar
Chambers, M.J. (1998a) Long memory and aggregation in macroeconomic time series. International Economic Review 39, 1053–1072.CrossRefGoogle Scholar
Chambers, M.J. (1998b) The estimation of systems of joint differential-difference equations. Journal of Econometrics 85, 1–31.CrossRefGoogle Scholar
Chambers, M.J. (1999a) Discrete time representation of stationary and non-stationary continuous time systems. Journal of Economic Dynamics and Control 23, 619–639.CrossRefGoogle Scholar
Chambers, M.J. (1999b) A note on modelling seasonal processes in continuous time. Journal of Time Series Analysis 20, 139–143.Google Scholar
Chambers, M.J. (2003) The asymptotic efficiency of cointegration estimators under temporal aggregation. Econometric Theory 19, 49–77.Google Scholar
Chambers, M.J. (2004) Testing for unit roots with flow data and varying sampling frequency. Journal of Econometrics 119, 1–18.Google Scholar
Chambers, M.J. (2005) The purchasing power parity puzzle, temporal aggregation, and half-life estimation. Economic Letters 86, 193–198.CrossRefGoogle Scholar
Chambers, M.J. & McCrorie, J.R. (2006) Identification and estimation of exchange rate models with unobservable fundamentals. International Economic Review 47, 573–582.CrossRefGoogle Scholar
Chambers, M.J. & McCrorie, J.R. (2007) Frequency domain estimation of temporally aggregated Gaussian cointegrated systems. Journal of Econometrics 136, 1–29.Google Scholar
Chambers, M.J. & McGarry, J.S. (2002) Modelling cyclical behaviour with differential-difference equations in an unobservable components framework. Econometric Theory 18, 387–419.CrossRefGoogle Scholar
Dzulkafli, Z. (2007) The Impact of Oil Prices on Interest Rates, Exchange Rates and Prices; A Comparison between Discrete and Continuous Time Models. Ph.D. thesis, University of Essex.Google Scholar
Ercolani, J.S. & Chambers, M.J. (2006) Estimation of differential-difference equation systems with unknown lag parameters. Econometric Theory 22, 483–498.CrossRefGoogle Scholar
McCrorie, J.R. (1996) Some Topics in the Estimation of Continuous Time Econometric Models. Ph.D. thesis, University of Essex.Google Scholar
McCrorie, J.R. (2000) Deriving the exact discrete analog of a continuous time system. Econometric Theory 16, 998–1015.CrossRefGoogle Scholar
McCrorie, J.R. (2001) Interpolating exogenous variables in open continuous time dynamic models. Journal of Economic Dynamics and Control 25, 1399–1427.Google Scholar
McGarry, J.S. (2000) Seasonality in Continuous Time Econometric Models. Ph.D. thesis, University of Essex.Google Scholar
McGarry, J.S. (2003) The exact discrete time representation of a system of fourth-order differential equations. Computers and Mathematics with Applications 46, 213–230.Google Scholar
Nowman, K.B. (1991) Open higher-order continuous time dynamic model with mixed stock and flow data and derivatives of exogenous variables. Econometric Theory 7, 404–408.CrossRefGoogle Scholar
Nowman, K.B. (1992) Gaussian Estimation of Open Higher Order Continuous Time Dynamic Models with Mixed Stock and Flow Data with an Application to a United Kingdom Macroeconomic Model. Ph.D. thesis, University of Essex.CrossRefGoogle Scholar
Nowman, K.B. (1993) Finite-sample properties of the Gaussian estimation of an open higher-order continuous time dynamic model with mixed stock and flow data. In Gandolfo, G. (ed.), Continuous Time Econometrics: Theory and Applications, pp. 93–116. Chapman-Hall.Google Scholar
Nowman, K.B. (1996) A note on continuous time dynamic disequilibrium macroeconometric modelling of the United Kingdom. In Barnett, W.A., Gandolfo, G., & Hillinger, C. (eds.), Dynamic Disequilibrium Modelling, pp. 185–195. Cambridge University Press.Google Scholar
Nowman, K.B. (1997) Gaussian estimation of single-factor continuous time models of the term structure of interest rate. Journal of Finance 52, 1695–1706.Google Scholar
Nowman, K.B. (1998) Econometric estimation of a continuous time macroeconomic model of the United Kingdom with segmented trends. Computational Economics 12, 243–254.Google Scholar
Nowman, K.B. & Saltoğlu, B. (2003) Continuous time and nonparametric modelling of U.S. interest rate models. International Review of Financial Analysis 12, 25–34.Google Scholar
Phillips, A.W. (1954) Stabilization policy in a closed economy. Economica 64, 290–323.Google Scholar
Phillips, A.W. (1961) A simple model of employment money and prices in a growing economy. Economica 28, 360–370.CrossRefGoogle Scholar
Phillips, P.C.B. (1972) The structural estimation of a stochastic differential equation system. Econometrica 40, 1021–1041.Google Scholar
Phillips, P.C.B. (1973) The problems of identification in finite parameter continuous time models. Journal of Econometrics 1, 351–362.Google Scholar
Phillips, P.C.B. (1974) The estimation of some continuous time models. Econometrica, 42, 803–824.CrossRefGoogle Scholar
Phillips, P.C.B. (1978) The treatment of flow data in the estimation of continuous time systems. In Bergstrom, A.R., Catt, A.J.L., Peston, M.H., & Silverstone, B.D.J. (eds.), Stability and Inflation, pp. 257–274. Wiley.Google Scholar
Phillips, P.C.B. (1988) The ET interview: Albert Rex Bergstrom. Econometric Theory 4, 301–327.CrossRefGoogle Scholar
Phillips, P.C.B. (1991) Error correction and long run equilibria in continuous time. Econometrica 59, 967–980.Google Scholar
Phillips, P.C.B. (1993) Rex Bergstrom's career and research. In Phillips, P.C.B. (ed.), Models, Methods, and Applications of Econometrics, Essays in Honor of A.R. Bergstrom, pp. 3–8. Blackwell.Google Scholar
Phillips, P.C.B. (2005) Albert Rex Bergstrom 1925–2005. New Zealand Economic Papers 39, 129–152.CrossRefGoogle Scholar
Saltoğolu, B. (1996) Selected Topics on Discrete and Continuous Time Financial Econometrics. Ph.D. thesis, University of Essex.Google Scholar
Saltoğlu, B. (2000) Estimation of continuous time portfolio selection model: An application with U.K. data. Empirical Economics 25, 93–109.Google Scholar
Saltoğlu, B. (2003) Comparing forecasting ability of parametric and nonparametric methods: Application with Canadian monthly interest rates. Applied Financial Economics 13, 169–176.CrossRefGoogle Scholar
Simos, T. (1994) Two Issues in Contemporary Continuous Time Dynamic Macro Econometric Modelling. Ph.D. thesis, University of Essex.Google Scholar
Simos, T. (1996) Gaussian estimation of a continuous time dynamic model with common stochastic trends. Econometric Theory 12, 361–373.Google Scholar
Simos, T. (2005) Closed Form Formulae for the Exact Discrete Model of a Third Order System of Linear Stochastic Differential Equations. Working paper, University of Ioannina.Google Scholar
Solow, R.M. (1956) A contribution to the theory of economic growth. Quarterly Journal of Economics 70, 65–94.CrossRefGoogle Scholar
Swan, T.W. (1956) Economic growth and capital accumulation. Economic Record 32, 334–361.CrossRefGoogle Scholar
Wandasiewicz, S. (1993) Optimal Control of the Bergstrom-Wymer Models of the United Kingdom. Ph.D. thesis, University of Essex.Google Scholar
Yu, J. & Phillips, P.C.B. (2001) A Gaussian approach for continuous time models of the short-term interest rate. Econometrics Journal 4, 210–224.Google Scholar