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A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends
Contributor(s): Bergstrom, Albert Rex (Author), Nowman, Khalid Ben (Author)

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 ISBN: 0521875498     ISBN-13: 9780521875493
Publisher: Cambridge University Press
OUR PRICE: $105.45  

Binding Type: Hardcover - See All Available Formats & Editions
Published: April 2007
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Annotation: Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modelling. This monograph presents the first 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 new 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.
Additional Information
BISAC Categories:
- Business & Economics | Econometrics
- Business & Economics | Economic Conditions
Dewey: 330.941
LCCN: 2006037265
Physical Information: 0.87" H x 6.34" W x 8.66" L (1.06 lbs) 314 pages
Themes:
- Cultural Region - British Isles
Features: Bibliography, Index
 
Descriptions, Reviews, Etc.
Publisher Description:
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.
 
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