Dynamic Econometrics For Empirical Macroeconomic Modelling

For Masters and PhD students in Economics

A concise presentation on the mathematics of difference equations and how it is used in dynamic econometric modelling

Methods for non-stationary and co-integrated variables

Structured chapters on automatic methods for variable selection and forecasting with empirical macroeconometric models

Complete with end-of-chapter exercises and solutions

In this textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models.

The book also contains chapters on: exogeneity, in the context of estimation, policy analysis and forecasting; automatic (computer based) variable selection, and how it can aid in the specification of an empirical macroeconomic model; and finally, on a common framework for model-based economic forecasting.

Supplementary materials and notes are available on the publisher's website.

Product details

• Authors: Ragnar Nymoen, Nymoen Ragnar, Ragnar Nymoen
• Publisher: Ingram Publishers Services
• Languages: English
• Product format: Hardback
• Released: 31.07.2019
• EAN: 9789811207518
• ISBN: 978-981-1207-51-8
• Subjects: Social sciences, law, business > Business > Miscellaneous; BUSINESS & ECONOMICS / Economics / Macroeconomics, BUSINESS & ECONOMICS / Econometrics, macroeconomics, MATHEMATICS / Probability & Statistics / Time Series, Econometrics, Econometrics and economic statistics, Dynamic Econometrics, Macroeconometric Modelling, Stati