A continuous time econometric model of the United Kingdom with stochastic trends / Albert Rex Bergstrom, Khalid Ben Nowman.
Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modelling. This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in contin...
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| Language: | English |
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2007.
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| 100 | 1 | |a Bergstrom, A. R. |q (Albert Rex) | |
| 245 | 1 | 2 | |a A continuous time econometric model of the United Kingdom with stochastic trends / |c Albert Rex Bergstrom, Khalid Ben Nowman. |
| 260 | |a Cambridge : |b Cambridge University Press, |c 2007. | ||
| 300 | |a 1 online resource (xxi, 290 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modelling. This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modelling. The book describes the model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady-state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behaviour. The model is estimated using newly developed exact Gaussian estimation methods for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting. | ||
| 505 | 0 | |a Cover; Title; Copyright; Dedication; Contents; List of Figures and Tables; Foreword; Preface; 1 Introduction to Continuous Time Modelling; 1.1 Introduction; 1.2 Why Model in Continuous Time; 1.3 Introduction to General Continuous Time Models; 1.4 Continuous Time Models in Finance; 1.5 Continuous Time Macroeconomic Modelling; 1.6 Policy Analysis in Continuous Time Macroeconomic Models; 1.7 Stochastic Trends in Econometric Models; 1.8 An Outline of Contents; 2 Continuous Time Econometrics with Stochastic Trends; 2.1 Introduction; 2.2 The Continuous Time Model. | |
| 505 | 8 | |a 2.3 The Exact Discrete Model and Its VARMAX Representation2.4 Estimation and Forecasting; 2.5 Conclusion; Appendix A: Formulae for the Coefficient Matrices of Exact Discrete Model; Appendix B: Formulae for the Autocovariance Matrices; 3 Model Specification; 3.1 Introduction; 3.2 Equations and General Properties of the Model; Endogenous Variables; Exogenous Variables; Unobservable Trend Variables; Structural Equations; 3.3 Private Consumption; 3.4 Residential Fixed Capital; 3.5 Employment; 3.6 Private Non-Residential Fixed Capital; 3.7 Output; 3.8 Price Level; 3.9 Wage Rate; 3.10 Interest Rate. | |
| 505 | 8 | |a 3.11 Imports3.12 Non-Oil Exports; 3.13 Transfers Abroad; 3.14 Real Profits Interest and Dividends from Abroad; 3.15 Cumulative Net Real Investment Abroad; 3.16 Exchange Rate; 3.17 Stocks; 3.18 Conclusion; Appendix A: Derivation of General Adjustment Equations; Appendix B: Distributed Lag Relations; 4 Steady State and Stability Analysis; 4.1 Introduction; 4.2 The Steady State; 4.3 Stability Analysis ; 4.4 Stability and Bifurcations; 4.5 Conclusion; Appendix A: Steady State Level Parameters; Appendix B: Transformed Model; 5 Empirical Estimation of the Model and Derived Results. | |
| 505 | 8 | |a 5.1 Introduction5.2 Estimation from United Kingdom Data; 5.3 Time Lag Distributions; 5.4 Steady State and Stability Properties; 5.5 Post-Sample Forecasting Performance; 5.6 Conclusion; Appendix A: Linear Approximation about Sample Means; Appendix B: Data; References; Author Index; Subject Index. | |
| 546 | |a English. | ||
| 650 | 0 | |a Finance |z Great Britain |x Econometric models. | |
| 650 | 0 | |a Econometric models. | |
| 650 | 0 | |a Stochastic processes. | |
| 651 | 0 | |a Great Britain |x Economic policy |x Econometric models. | |
| 650 | 7 | |a Econometric models. |2 fast |0 (OCoLC)fst00901567 | |
| 650 | 7 | |a Economic policy |x Econometric models. |2 fast |0 (OCoLC)fst00902034 | |
| 650 | 7 | |a Finance |x Econometric models. |2 fast |0 (OCoLC)fst00924377 | |
| 650 | 7 | |a Stochastic processes. |2 fast |0 (OCoLC)fst01133519 | |
| 651 | 7 | |a Great Britain. |2 fast |0 (OCoLC)fst01204623 | |
| 700 | 1 | |a Nowman, Khalid Ben, |d 1962- | |
| 776 | 0 | 8 | |i Print version: |a Bergstrom, A.R. (Albert Rex). |t Continuous time econometric model of the United Kingdom with stochastic trends. |d Cambridge : Cambridge University Press, 2007 |w (OCoLC)122283310 |
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