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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: 1107411238     ISBN-13: 9781107411234
Publisher: Cambridge University Press
OUR PRICE: $36.09  

Binding Type: Paperback - See All Available Formats & Editions
Published: October 2012
Qty:
Additional Information
BISAC Categories:
- Business & Economics | Econometrics
- Business & Economics | Economic Conditions
Dewey: 330.941
Physical Information: 0.66" H x 5.5" W x 8.5" L (0.80 lbs) 314 pages
Themes:
- Cultural Region - British Isles
Features: Price on Product
 
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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