Qualitative analysis and econometric estimation of continuous time dynamic models:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam u.a.
North-Holland
1981
|
| Schriftenreihe: | Contributions to economic analysis
136 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIV, 253 S. |
| ISBN: | 0444860258 |
Internformat
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| 245 | 1 | 0 | |a Qualitative analysis and econometric estimation of continuous time dynamic models |c Giancarlo Gandolfe. With contr. by Giancarlo Martinego ... |
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Datensatz im Suchindex
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|---|---|
| adam_text | Titel: Qualitative analysis and econometric estimation of continuous time dynamic models
Autor: Gandolfo, Giancarlo
Jahr: 1981
Contents
Preface xi
PART I: SPECIFICATION, QUALITATIVE ANALYSIS
AND ECONOMETRIC ESTIMATION OF
CONTINUOUS TIME DYNAMIC ECONOMIC
MODELS 1
Chapter 1. Continuous and discrete modeis in economies 3
1.1. Introduction 3
1.2. A digression on distributed lags and partial
adjustment equations 7
Chapter 2. Specification and qualitative analysis of the modeis 15
2.1. Specification 15
2.2. Qualitative analysis 22
2.2.1. Search for the steady State 23
2.2.2. Comparative dynamics 24
2.2.3. Stability 25
2.2.4. Sensitivity 29
2.2.4.1. General results 29
2.2.4.2. Proof of the basic formula for
the sensitivity matrix 31
2.3. Some examples 37
2.3.1. Wymer(1976) 37
2.3.1.1. General treatment 37
viii Contents
2.3.1.2. A numerical example 44
2.3.2. Bergstrom (1967) 49
Chapter 3. Econometric estimation 65
3.1. Introduction 65
3.2. A digression on stochastic processes 69
3.3. Theoretical aspects of the estimation method 74
3.3.1. The exact discrete analogue 75
3.3.1.1. Evaluation of the integral f/T 77
3.3.1.2. Models containing flow variables 81
3.3.2. The approximate discrete analogue 85
3.3.3. A simple Illustration 87
3.4. Analysis, forecasting and Simulation 89
3.4.1. Forecasting and Simulation by the discrete
linearized model 90
3.4.2. Forecasting and Simulation by the original
non-linear continuous model 93
3.5. A note on Computer programs 95
Appendix I. Some linearization formulae 97
LI. Linearization about a point 98
1.2. Linearization about the sample 99
means
Appendix II. Autocorrelation in the disturbances in
modeis containing flow variables 100
II. 1. Generating functions and moving
average processes 101
II. 1.1. General principles 101
II. 1.2. Moving average processes 103
II.2. Derivation of the process in eq. (34) 108
Appendix III. Interpolation of observations of
continuous variables 114
ULI. Quarterly Interpolation from
annual observations 115
111.2. Monthly Interpolation from
quarterly observations 118
111.3. Further considerations 119
References to Part I 121
Contents ;x
PART II: A MACRODYNAMIC GENERAL
DISEQUILIBRIUM MODEL FOR THE
DETERMINATION OF THE EQUILIBRIUM
EXCHANGE RATE 127
Chapter 4. The equilibrium exchange rate: A critical survey (by
Giancarlo Martinengo) 129
4.1. Introduction 129
4.2. The theory of purchasing power parity (PPP) 130
4.3. The Standard model 133
4.4. The monetary approach to the BP and the
asset-market approach to the determination of the
exchange-rate 135
4.4.1. Exchange-rate determinants: the role of money
and of expectations 135
4.4.2. The role of relative prices in the determination
of the equilibrium exchange-rate 142
4.4.3. The interactions between current and capital
accounts of the BP 147
4.5. The eclectic approach to the equilibrium
exchange-rate 156
4.6. Conclusions 163
References 166
Chapter 5. A minimal model: The theoretical framework 171
5.1. Introduction and overview 171
5.2. The model 173
5.3. Steady-state properties of the model 186
5.4. Comparative dynamics, stability and sensitivity 191
Appendix I. Derivation of the steady-state 193
LI. Introduction 196
1.2. Solution for the steady-state growth
rates 196
1.3. Solution for the steady-state initial
levels 197
1.4. Comparative dynamics results 201
Appendix II. Linearization about the steady-state 203
References 206
x Contents
Chapter 6. A minimal model: Empirical results (by Pietro Carlo
Padoan) 209
6.1. Introduction 209
6.2. Estimation results 211
6.3. Stability and sensitivity analyses 223
6.4. The equilibrium exchange rate 227
6.5. Conclusion 229
Appendix I. Specification of the approximate discrete
analogue 229
Appendix II. Data sources and definitions 236
References 239
Author index 241
Subject index 245
|
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| spelling | Gandolfo, Giancarlo Verfasser (DE-588)170260941 aut Qualitative analysis and econometric estimation of continuous time dynamic models Giancarlo Gandolfe. With contr. by Giancarlo Martinego ... Amsterdam u.a. North-Holland 1981 XIV, 253 S. txt rdacontent n rdamedia nc rdacarrier Contributions to economic analysis 136 Change - Modèles mathématiques Econometrie gtt Wiskundige modellen gtt Économie politique - Modèles mathématiques Économétrie Mathematisches Modell Wirtschaft Econometrics Economics Mathematical models Foreign exchange Mathematical models Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Wechselkurs (DE-588)4064921-0 gnd rswk-swf Analyse (DE-588)4122795-5 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 s Analyse (DE-588)4122795-5 s DE-604 Wechselkurs (DE-588)4064921-0 s Ökonometrie (DE-588)4132280-0 s Mathematisches Modell (DE-588)4114528-8 s Martinengo, Giancarlo Sonstige oth Contributions to economic analysis 136 (DE-604)BV000001445 136 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002155468&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gandolfo, Giancarlo Qualitative analysis and econometric estimation of continuous time dynamic models Contributions to economic analysis Change - Modèles mathématiques Econometrie gtt Wiskundige modellen gtt Économie politique - Modèles mathématiques Économétrie Mathematisches Modell Wirtschaft Econometrics Economics Mathematical models Foreign exchange Mathematical models Ökonometrisches Modell (DE-588)4043212-9 gnd Ökonometrie (DE-588)4132280-0 gnd Wechselkurs (DE-588)4064921-0 gnd Analyse (DE-588)4122795-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4043212-9 (DE-588)4132280-0 (DE-588)4064921-0 (DE-588)4122795-5 (DE-588)4114528-8 |
| title | Qualitative analysis and econometric estimation of continuous time dynamic models |
| title_auth | Qualitative analysis and econometric estimation of continuous time dynamic models |
| title_exact_search | Qualitative analysis and econometric estimation of continuous time dynamic models |
| title_full | Qualitative analysis and econometric estimation of continuous time dynamic models Giancarlo Gandolfe. With contr. by Giancarlo Martinego ... |
| title_fullStr | Qualitative analysis and econometric estimation of continuous time dynamic models Giancarlo Gandolfe. With contr. by Giancarlo Martinego ... |
| title_full_unstemmed | Qualitative analysis and econometric estimation of continuous time dynamic models Giancarlo Gandolfe. With contr. by Giancarlo Martinego ... |
| title_short | Qualitative analysis and econometric estimation of continuous time dynamic models |
| title_sort | qualitative analysis and econometric estimation of continuous time dynamic models |
| topic | Change - Modèles mathématiques Econometrie gtt Wiskundige modellen gtt Économie politique - Modèles mathématiques Économétrie Mathematisches Modell Wirtschaft Econometrics Economics Mathematical models Foreign exchange Mathematical models Ökonometrisches Modell (DE-588)4043212-9 gnd Ökonometrie (DE-588)4132280-0 gnd Wechselkurs (DE-588)4064921-0 gnd Analyse (DE-588)4122795-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Change - Modèles mathématiques Econometrie Wiskundige modellen Économie politique - Modèles mathématiques Économétrie Mathematisches Modell Wirtschaft Econometrics Economics Mathematical models Foreign exchange Mathematical models Ökonometrisches Modell Ökonometrie Wechselkurs Analyse |
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