Return to home page
Searching: Muskingum library catalog
Some OPAL libraries remain closed or are operating at reduced service levels. Materials from those libraries may not be requestable; requested items may take longer to arrive. Note that pickup procedures may differ between libraries. Please contact your library for new procedures, specific requests, or other assistance.
  Previous Record Previous Item Next Item Next Record
  Reviews, Summaries, etc...
EBOOK
Author Bergstrom, A. R. (Albert Rex)
Title A continuous time econometric model of the United Kingdom with stochastic trends / Albert Rex Bergstrom, Khalid Ben Nowman.
Imprint New York : Cambridge University Press, 2007.

Author Bergstrom, A. R. (Albert Rex)
Subject Great Britain -- Economic policy -- Econometric models.
Finance -- Great Britain -- Econometric models.
Econometric models.
Stochastic processes.
Alt Name Nowman, Khalid Ben, 1962-
Description 1 online resource (xxi, 290 pages) : illustrations
Bibliography Note Includes bibliographical references (pages 269-284) and indexes.
Note Print version record.
Access Use copy Restrictions unspecified star
Reproduction Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010.
System Details Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
Note digitized 2010 HathiTrust Digital Library committed to preserve pda
Contents Cover; Title; Copyright; Dedication; Contents; List of Figures and Tables; Foreword; Preface; 1 Introduction to Continuous Time Modelling; 1.1 Introduction; 1.2 Why Model in Continuous Time; 1.3 Introduction to General Continuous Time Models; 1.4 Continuous Time Models in Finance; 1.5 Continuous Time Macroeconomic Modelling; 1.6 Policy Analysis in Continuous Time Macroeconomic Models; 1.7 Stochastic Trends in Econometric Models; 1.8 An Outline of Contents; 2 Continuous Time Econometrics with Stochastic Trends; 2.1 Introduction; 2.2 The Continuous Time Model
2.3 The Exact Discrete Model and Its VARMAX Representation2.4 Estimation and Forecasting; 2.5 Conclusion; Appendix A: Formulae for the Coefficient Matrices of Exact Discrete Model; Appendix B: Formulae for the Autocovariance Matrices; 3 Model Specification; 3.1 Introduction; 3.2 Equations and General Properties of the Model; Endogenous Variables; Exogenous Variables; Unobservable Trend Variables; Structural Equations; 3.3 Private Consumption; 3.4 Residential Fixed Capital; 3.5 Employment; 3.6 Private Non-Residential Fixed Capital; 3.7 Output; 3.8 Price Level; 3.9 Wage Rate; 3.10 Interest Rate
3.11 Imports3.12 Non-Oil Exports; 3.13 Transfers Abroad; 3.14 Real Profits Interest and Dividends from Abroad; 3.15 Cumulative Net Real Investment Abroad; 3.16 Exchange Rate; 3.17 Stocks; 3.18 Conclusion; Appendix A: Derivation of General Adjustment Equations; Appendix B: Distributed Lag Relations; 4 Steady State and Stability Analysis; 4.1 Introduction; 4.2 The Steady State; 4.3 Stability Analysis; 4.4 Stability and Bifurcations; 4.5 Conclusion; Appendix A: Steady State Level Parameters; Appendix B: Transformed Model; 5 Empirical Estimation of the Model and Derived Results; 5.1 Introduction
5.2 Estimation from United Kingdom Data5.3 Time Lag Distributions; 5.4 Steady State and Stability Properties; 5.5 Post-Sample Forecasting Performance; 5.6 Conclusion; Appendix A: Linear Approximation about Sample Means; Appendix B: Data; References; Author Index; Subject Index
Summary This 2007 monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends.
Note English.
ISBN 9781107322103 (electronic bk.)
1107322103 (electronic bk.)
9780511664687 (e-book)
0511664680 (e-book)
9780521875493
0521875498
1107198445
9781107198449
1139810693
9781139810692
1107316715
9781107316713
1107318602
9781107318601
1107317673
9781107317673
1299399789
9781299399785
1107315751
9781107315754
OCLC # 829706592
Additional Format Print version: Bergstrom, A.R. (Albert Rex). Continuous time econometric model of the United Kingdom with stochastic trends. New York : Cambridge University Press, 2007 9780521875493 (DLC) 2006037265 (OCoLC)76794712


If you experience difficulty accessing or navigating this content, please contact the OPAL Support Team