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A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends (Paperback) Loot Price: R961
Discovery Miles 9 610
A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends (Paperback): Albert Rex Bergstrom, Khalid Ben...

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

Albert Rex Bergstrom, Khalid Ben Nowman

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Loot Price R961 Discovery Miles 9 610 | Repayment Terms: R90 pm x 12*

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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.

General

Imprint: Cambridge UniversityPress
Country of origin: United Kingdom
Release date: October 2012
First published: August 2012
Authors: Albert Rex Bergstrom • Khalid Ben Nowman
Dimensions: 216 x 140 x 17mm (L x W x T)
Format: Paperback - Trade
Pages: 314
ISBN-13: 978-1-107-41123-4
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
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LSN: 1-107-41123-8
Barcode: 9781107411234

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