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A continuous time econometric model of the United Kingdom with stochastic trends /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	A continuous time econometric model of the United Kingdom with stochastic trends // Albert Rex Bergstrom, Khalid Ben Nowman.
作者:	Bergstrom, A. R.
其他作者:	Nowman, Khalid Ben,
面頁冊數:	1 online resource (xxi, 290 pages) :digital, PDF file(s). :
附註:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
標題:	Stochastic processes. -
標題:	Great Britain - Politics and government - 1997- -
電子資源:	https://doi.org/10.1017/CBO9780511664687
ISBN:	9780511664687 (ebook)

A continuous time econometric model of the United Kingdom with stochastic trends /
Bergstrom, A. R.

A continuous time econometric model of the United Kingdom with stochastic trends /Albert Rex Bergstrom, Khalid Ben Nowman. - 1 online resource (xxi, 290 pages) :digital, PDF file(s).

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

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.

ISBN: 9780511664687 (ebook)Subjects--Topical Terms:

528256
Stochastic processes.
Subjects--Geographical Terms:

556459
Great Britain
--Politics and government--1997-

LC Class. No.: HC256.7 / .B47 2007

Dewey Class. No.: 330.941/086

A continuous time econometric model of the United Kingdom with stochastic trends /
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520 $a 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.
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