A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends

Business & Finance, Economics, Econometrics, Nonfiction, Science & Nature, Mathematics
Cover of the book A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends by Albert Rex Bergstrom, Khalid Ben Nowman, Cambridge University Press
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Author: Albert Rex Bergstrom, Khalid Ben Nowman ISBN: 9781139810692
Publisher: Cambridge University Press Publication: April 16, 2007
Imprint: Cambridge University Press Language: English
Author: Albert Rex Bergstrom, Khalid Ben Nowman
ISBN: 9781139810692
Publisher: Cambridge University Press
Publication: April 16, 2007
Imprint: Cambridge University Press
Language: English

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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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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