A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends (Hardcover, New)

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.

General

Imprint:	Cambridge UniversityPress
Country of origin:	United Kingdom
Release date:	April 2007
First published:	2007
Authors:	Albert Rex Bergstrom • Khalid Ben Nowman
Dimensions:	216 x 140 x 22mm (L x W x T)
Format:	Hardcover
Pages:	314
Edition:	New
ISBN-13:	978-0-521-87549-3
Categories:	Books > Business & Economics > Economics > Econometrics > Economic statistics Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Books > Business & Economics > Finance & accounting > Finance > Public finance > General Books > Money & Finance > Public finance > General Promotions
LSN:	0-521-87549-8
Barcode:	9780521875493

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