A continuous time econometric model of the United Kingdom with stochastic trends:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2007
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| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXI, 290 S. graph. Darst. |
| ISBN: | 9780521875493 0521875498 |
Internformat
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Datensatz im Suchindex
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| adam_text | CONTENTS LIST OF FIGURES AND TABLES PAGE XI FOREWORD BY PETER C B.
PHILLIPS XIII PREFACE XIX 1 INTRODUCTION TO CONTINUOUS TIME MODELLING 1
1.1 INTRODUCTION 1 1.2 WHY MODEL IN CONTINUOUS TIME 3 1.3 INTRODUCTION
TO GENERAL CONTINUOUS TIME MODELS 9 1.4 CONTINUOUS TIME MODELS IN
FINANCE 18 1.5 CONTINUOUS TIME MACROECONOMIC MODELLING 31 1.6 POLICY
ANALYSIS IN CONTINUOUS TIME MACROECONOMIC MODELS 42 1.7 STOCHASTIC
TRENDS IN ECONOMETRIC MODELS 45 1.8 AN OUTLINE OF CONTENTS 47 *+ VII +*
CONTENTS CONTINUOUS TIME ECONOMETRICS WITH STOCHASTIC TRENDS 50 2.1
INTRODUCTION 50 2.2 THE CONTINUOUS TIME MODEL 53 2.3 THE EXACT DISCRETE
MODEL AND ITS VARMAX REPRESENTATION 58 2.4 ESTIMATION AND FORECASTING 67
2.5 CONCLUSION 79 APPENDIX A: FORMULAE FOR THE COEFFICIENT MATRICES OF
EXACT DISCRETE MODEL 80 APPENDIX B: FORMULAE FOR THE AUTOCOVARIANCE
MATRICES 85 MODEL SPECIFICATION 114 3.1 INTRODUCTION 114 3.2 EQUATIONS
AND GENERAL PROPERTIES OF THE MODEL 116 3.3 PRIVATE CONSUMPTION 125 3.4
RESIDENTIAL FIXED CAPITAL 128 3.5 EMPLOYMENT 130 3.6 PRIVATE
NON-RESIDENTIAL FIXED CAPITAL 134 3.7 OUTPUT 136 3.8 PRICE LEVEL 1 38
3.9 WAGE RATE 141 3.10 INTEREST RATE 144 3.11 IMPORTS 145 3.12 NON-OIL
EXPORTS 146 3.1 3 TRANSFERS ABROAD 147 3.14 REAL PROFITS INTEREST AND
DIVIDENDS FROM ABROAD 147 3.15 CUMULATIVE NET REAL INVESTMENT ABROAD 149
3.16 EXCHANGE RATE 150 * + VNT +* CONTENTS 3.17 STOCKS 151 3.18
CONCLUSION 152 APPENDIX A: DERIVATION OF GENERAL ADJUSTMENT EQUATIONS
152 APPENDIX B: DISTRIBUTED LAG RELATIONS 164 4 STEADY STATE AND
STABILITY ANALYSIS 173 4.1 INTRODUCTION 173 4.2 THE STEADY STATE 1 75
4.3 STABILITY ANALYSIS 180 4.4 STABILITY AND BIFURCATIONS 192 4.5
CONCLUSION 197 APPENDIX A: STEADY STATE LEVEL PARAMETERS 197 APPENDIX B:
TRANSFORMED MODEL 203 5 EMPIRICAL ESTIMATION OF THE MODEL AND DERIVED
RESULTS 213 5.1 INTRODUCTION 213 5.2 ESTIMATION FROM UK DATA 214 5.3
TIME LAG DISTRIBUTIONS 223 5.4 STEADY STATE AND STABILITY PROPERTIES 232
5.5 POST-SAMPLE FORECASTING PERFORMANCE 240 5.6 CONCLUSION 248 APPENDIX
A: LINEAR APPROXIMATION ABOUT SAMPLE MEANS 249 APPENDIX B: DATA 262
REFERENCES 269 AUTHOR INDEX 285 SUBJECT INDEX 288 IX +* PPN: 26463747X
TITEL: A CONTINUOUS TIME ECONOMETRIC MODEL OF THE UNITED KINGDOM WITH
STOCHASTIC TRENDS / ALBERT REX BERGSTROM; KHALID BEN NOWMAN. - . -
CAMBRIDGE : CAMBRIDGE UNIVERSITY PRESS, 2007 ISBN:
0-521-87549-8(HBK.)40.00 HBK. : 40.00 : CIP ENTRY (JUNE);
978-0-521-87549-3 BIBLIOGRAPHISCHER DATENSATZ IM SWB-VERBUND
|
| any_adam_object | 1 |
| author | Bergstrom, Albert R. 1925-2005 Nowman, Khalid Ben 1962- |
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| author_facet | Bergstrom, Albert R. 1925-2005 Nowman, Khalid Ben 1962- |
| author_role | aut aut |
| author_sort | Bergstrom, Albert R. 1925-2005 |
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| building | Verbundindex |
| bvnumber | BV025460840 |
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| ctrlnum | (OCoLC)611802290 (DE-599)BVBBV025460840 |
| dewey-full | 330.941086 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.941086 |
| dewey-search | 330.941086 |
| dewey-sort | 3330.941086 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| geographic_facet | Großbritannien Great Britain / Economic policy / Econometric models |
| id | DE-604.BV025460840 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:34:40Z |
| institution | BVB |
| isbn | 9780521875493 0521875498 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020076824 |
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| physical | XXI, 290 S. graph. Darst. |
| publishDate | 2007 |
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| publisher | Cambridge Univ. Press |
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| spelling | Bergstrom, Albert R. 1925-2005 Verfasser (DE-588)119168626 aut A continuous time econometric model of the United Kingdom with stochastic trends Albert Rex Bergstrom ; Khalid Ben Nowman 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2007 XXI, 290 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wirtschaftspolitik Ökonometrisches Modell Finance / Great Britain / Econometric models Econometric models Stochastic processes Makroökonomisches Modell (DE-588)4074486-3 gnd rswk-swf Großbritannien Great Britain / Economic policy / Econometric models Großbritannien (DE-588)4022153-2 gnd rswk-swf Großbritannien (DE-588)4022153-2 g Makroökonomisches Modell (DE-588)4074486-3 s DE-188 Nowman, Khalid Ben 1962- Verfasser (DE-588)133637220 aut SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020076824&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bergstrom, Albert R. 1925-2005 Nowman, Khalid Ben 1962- A continuous time econometric model of the United Kingdom with stochastic trends Wirtschaftspolitik Ökonometrisches Modell Finance / Great Britain / Econometric models Econometric models Stochastic processes Makroökonomisches Modell (DE-588)4074486-3 gnd |
| subject_GND | (DE-588)4074486-3 (DE-588)4022153-2 |
| title | A continuous time econometric model of the United Kingdom with stochastic trends |
| title_auth | A continuous time econometric model of the United Kingdom with stochastic trends |
| title_exact_search | A continuous time econometric model of the United Kingdom with stochastic trends |
| title_full | A continuous time econometric model of the United Kingdom with stochastic trends Albert Rex Bergstrom ; Khalid Ben Nowman |
| title_fullStr | A continuous time econometric model of the United Kingdom with stochastic trends Albert Rex Bergstrom ; Khalid Ben Nowman |
| title_full_unstemmed | A continuous time econometric model of the United Kingdom with stochastic trends Albert Rex Bergstrom ; Khalid Ben Nowman |
| title_short | A continuous time econometric model of the United Kingdom with stochastic trends |
| title_sort | a continuous time econometric model of the united kingdom with stochastic trends |
| topic | Wirtschaftspolitik Ökonometrisches Modell Finance / Great Britain / Econometric models Econometric models Stochastic processes Makroökonomisches Modell (DE-588)4074486-3 gnd |
| topic_facet | Wirtschaftspolitik Ökonometrisches Modell Finance / Great Britain / Econometric models Econometric models Stochastic processes Makroökonomisches Modell Großbritannien Great Britain / Economic policy / Econometric models |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020076824&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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