A continuous time econometric model of the United Kingdom with stochastic trends / Albert Rex Bergstrom, Khalid Ben Nowman.

Format:

Book

Author/Creator:

Bergstrom, A. R. (Albert Rex)

Contributor:

Nowman, Khalid Ben, 1962-

Language:

English

Subjects (All):

Finance.

Econometric models.

Economic policy.

Great Britain--Economic policy--Econometric models.

Great Britain.

Finance--Great Britain--Econometric models.

Stochastic processes.

Physical Description:

xxi, 290 pages : illustrations ; 23 cm

Place of Publication:

Cambridge ; New York : Cambridge University Press, 2007.

Contents:

1.2 Why Model in Continuous Time 3

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

2 Continuous Time Econometrics with Stochastic Trends 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

Appendix A Formulae for the Coefficient Matrices of Exact Discrete Model 80

Appendix B Formulae for the Autocovariance Matrices 85

3 Model Specification 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 138

3.9 Wage Rate 141

3.10 Interest Rate 144

3.11 Imports 145

3.12 Non-Oil Exports 146

3.13 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

3.17 Stocks 151

Appendix A Derivation of General Adjustment Equations 152

Appendix B Distributed Lag Relations 164

4 Steady State and Stability Analysis 173

4.2 The Steady State 175

4.3 Stability Analysis 180

4.4 Stability and Bifurcations 192

Appendix A Steady State Level Parameters 197

Appendix B Transformed Model 203

5 Empirical Estimation of the Model and Derived Results 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

Appendix A Linear Approximation about Sample Means 249

Appendix B Data 262.

Notes:

Includes bibliographical references (pages 269-284) and indexes.

ISBN:

9780521875493

0521875498

OCLC:

76794712

Online:

Publisher description