A Continuous Time Econometric Model Of The United Kingdom With Stochastic Trends PDF Download
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Author | : Albert Rex Bergstrom |
Publisher | : Cambridge University Press |
Total Pages | : 315 |
Release | : 2007-04-16 |
Genre | : Business & Economics |
ISBN | : 110732114X |
Download A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends Book in PDF, ePub and Kindle
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.
Author | : Kees van Montfort |
Publisher | : Springer |
Total Pages | : 442 |
Release | : 2018-10-11 |
Genre | : Medical |
ISBN | : 3319772198 |
Download Continuous Time Modeling in the Behavioral and Related Sciences Book in PDF, ePub and Kindle
This unique book provides an overview of continuous time modeling in the behavioral and related sciences. It argues that the use of discrete time models for processes that are in fact evolving in continuous time produces problems that make their application in practice highly questionable. One main issue is the dependence of discrete time parameter estimates on the chosen time interval, which leads to incomparability of results across different observation intervals. Continuous time modeling by means of differential equations offers a powerful approach for studying dynamic phenomena, yet the use of this approach in the behavioral and related sciences such as psychology, sociology, economics and medicine, is still rare. This is unfortunate, because in these fields often only a few discrete time (sampled) observations are available for analysis (e.g., daily, weekly, yearly, etc.). However, as emphasized by Rex Bergstrom, the pioneer of continuous-time modeling in econometrics, neither human beings nor the economy cease to exist in between observations. In 16 chapters, the book addresses a vast range of topics in continuous time modeling, from approaches that closely mimic traditional linear discrete time models to highly nonlinear state space modeling techniques. Each chapter describes the type of research questions and data that the approach is most suitable for, provides detailed statistical explanations of the models, and includes one or more applied examples. To allow readers to implement the various techniques directly, accompanying computer code is made available online. The book is intended as a reference work for students and scientists working with longitudinal data who have a Master's- or early PhD-level knowledge of statistics.
Author | : Terence C. Mills |
Publisher | : Springer |
Total Pages | : 1406 |
Release | : 2009-06-25 |
Genre | : Business & Economics |
ISBN | : 0230244408 |
Download Palgrave Handbook of Econometrics Book in PDF, ePub and Kindle
Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
Author | : Torben Gustav Andersen |
Publisher | : Springer Science & Business Media |
Total Pages | : 1045 |
Release | : 2009-04-21 |
Genre | : Business & Economics |
ISBN | : 3540712976 |
Download Handbook of Financial Time Series Book in PDF, ePub and Kindle
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author | : Bang Nam Jeon |
Publisher | : Emerald Group Publishing |
Total Pages | : 493 |
Release | : 2013-10-23 |
Genre | : Business & Economics |
ISBN | : 1783501715 |
Download Global Banking, Financial Markets and Crises Book in PDF, ePub and Kindle
This edited volume on "Global Banking, Financial Markets and Crises" contains original papers that examine issues concerning the changing role of global banks in crises. The papers in this volume also address the impact of global financial crises on multinational banking, financial markets, and emerging economies.
Author | : Oliver Linton |
Publisher | : Cambridge University Press |
Total Pages | : 585 |
Release | : 2019-02-21 |
Genre | : Business & Economics |
ISBN | : 1316827615 |
Download Financial Econometrics Book in PDF, ePub and Kindle
This is a thorough exploration of the models and methods of financial econometrics by one of the world's leading financial econometricians and is for students in economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on courses taught around the world, the up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the field. Care has been taken to link theory and application to provide real-world context for students. Worked exercises and empirical examples have also been included to make sure complicated concepts are solidly explained and understood.
Author | : Carl Chiarella |
Publisher | : Cambridge University Press |
Total Pages | : 572 |
Release | : 2005-10-27 |
Genre | : Business & Economics |
ISBN | : 9781139448215 |
Download Foundations for a Disequilibrium Theory of the Business Cycle Book in PDF, ePub and Kindle
Building on The Dynamics of Keynesian Monetary Growth by Chiarella and Flaschel (2000), this book is a key contribution to business cycle theory, setting out a disequilibrium approach with gradual adjustments of the key macroeconomic variables. Its analytic study of a deterministic model of economic activity, inflation and income distribution integrates elements in the tradition of Keynes, Metzler and Goodwin (KMG). After a qualitative analysis of the basic feedback mechanisms, the authors calibrate the KMG model to the stylized facts of the business cycle in the U.S. economy, and then undertake a detailed numerical investigation of the local and global dynamics generated by the model. Finally, topical issues in monetary policy are studied in small macromodels as well as for the KMG model by incorporating an estimated Taylor-type interest rate reaction function. The stability features of this enhanced model are also compared to those of the original KMG model.
Author | : Philip Hans Franses |
Publisher | : |
Total Pages | : 230 |
Release | : |
Genre | : ANALISIS DE SERIES DE TIEMPO. |
ISBN | : |
Download Periodicity and Stochastic Trends in Economic Time Series Book in PDF, ePub and Kindle
Author | : G. Gandolfo |
Publisher | : Springer Science & Business Media |
Total Pages | : 273 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 9401115427 |
Download Continuous-Time Econometrics Book in PDF, ePub and Kindle
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.
Author | : Philip Hans Franses |
Publisher | : Oxford University Press, USA |
Total Pages | : 256 |
Release | : 1996 |
Genre | : Business & Economics |
ISBN | : |
Download Periodicity and Stochastic Trends in Economic Time Series Book in PDF, ePub and Kindle
This book provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. Two key concepts are periodic integration and periodic cointegration. Periodic integration implies that a seasonally varying differencing filter is required to remove a stochastic trend. Periodic cointegration amounts to allowing cointegration paort-term adjustment parameters to vary with the season. The emphasis is on useful econrameters and shometric models that explicitly describe seasonal variation and can reasonably be interpreted in terms of economic behaviour. The analysis considers econometric theory, Monte Carlo simulation, and forecasting, and it is illustrated with numerous empirical time series. A key feature of the proposed models is that changing seasonal fluctuations depend on the trend and business cycle fluctuations. In the case of such dependence, it is shown that seasonal adjustment leads to inappropriate results.