McCrorie, J R - Suntory and Toyota International Centres for Economics … - 1997
We present a method of deriving the exact discrete model satisfied by equispaced data generated by a system of linear … discrete model as an asymptotically time-invariant VARMA model. Applying to the state space form of the model, the method is … general, and delivers a parsimonious representation of the exact discrete model in any particular case. It is applied by way …