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 applied
side are by now well developed. Methods of estimation have been
theoretically elaborated and practically implemented through
computer programs. Continuous-time macroeconometric models for
different countries have been constructed, estimated and used.
Being myself involved in these developments, it was with great
pleasure that I accepted the invitation to organize a session on
continuous-time econometrics in the context of the International
Symposium on Economic Modelling (jointly organized by the
University of Urbino and the book series International Studies in
Economic Modelling, and co-sponsored by the Consiglio Nazionale
delle Ricerche). The reaction of 'continuists' from all over the
world was so enthusiastic that I was able to arrange two sessions,
one on the theory and the other on the applications. The symposium
was held in Urbino on 23-25 July 1990. The papers presented in
Urbino have been revised in the light of the discussion at the
symposium and the referees' comments. Hence, what is published here
should become another standard reference in the field of
continuous-time econometrics.
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