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A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends (Hardcover, New)
Loot Price: R2,966
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A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends (Hardcover, New)
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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 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.
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