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
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