A continuous time econometric model of the United Kingdom with stochastic trends /

This 2007 monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Bergstrom, A. R. (Albert Rex)
Otros Autores: Nowman, Khalid Ben, 1962-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York : Cambridge University Press, 2007.
Temas:
Finance > Great Britain > Econometric models.
Econometric models.
Stochastic processes.
Finances > Grande-Bretagne > Modèles économétriques.
Modèles économétriques.
Processus stochastiques.
BUSINESS & ECONOMICS > Economic Conditions.
BUSINESS & ECONOMICS > Economic History.
BUSINESS & ECONOMICS > Economics > Comparative.
POLITICAL SCIENCE > Economic Conditions.
Economic policy > Econometric models.
Finance > Econometric models.
Great Britain > Economic policy > Econometric models.
Grande-Bretagne > Politique économique > Modèles économétriques.
Great Britain.
Grande-Bretagne > Politique économique > 20e siècle.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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
  • 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
  • 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; 5.1 Introduction
  • 5.2 Estimation from United Kingdom Data5.3 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

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