Continuous Time Econometric Model of the United Kingdom With - Stochastic Trend

Klappentext 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. Zusammenfassung This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. It describes the model in detail 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. Inhaltsverzeichnis 1. Introduction to continuous time modelling; 2. Continuous time econometrics with stochastic trends; 3. Model specification; 4. Steady state and stability analysis; 5. Empirical estimation of the model and derived results.

Product details

• Authors: Albert Rex Bergstrom, Albert Rex Nowman Bergstrom, Bergstrom Albert Rex, Khalid Ben Nowman, Nowman Khalid Ben
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Paperback / Softback
• Released: 25.10.2012
• EAN: 9781107411234
• ISBN: 978-1-107-41123-4
• No. of pages: 314
• Subjects: Social sciences, law, business > Business > Miscellaneous; Economics, BUSINESS & ECONOMICS / Econometrics, Economic statistics, United Kingdom, Great Britain, Applied mathematics, Public finance, Public finance and taxation, Econometrics and economic statistics