Items related to A Continuous Time Econometric Model of the United Kingdom...

A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends - Softcover

Bergstrom, Albert Rex

 
9781107411234: A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends
Softcover
ISBN 10: 1107411238 ISBN 13: 9781107411234
Publisher: Cambridge University Press, 2012

Synopsis

This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends.

"synopsis" may belong to another edition of this title.

Review

Review of the hardback: 'Discrete time models imply that all transactions occur at boundaries of discrete time intervals, with all markets closed within the interiors of those intervals. Since the sequence of boundary points is measure zero on the time line, discrete time macroeconometric models imply that the economy exists 'almost nowhere' in Lebesgue measure. This formidable book by Bergstrom and Nowman leads the way for macroeconometric modeling, as it should be done.' William A. Barnett, University of Kansas and Editor, Macroeconomic Dynamics

Review of the hardback: 'This superb monograph sets a new benchmark for continuous time macroeconometric modeling. The model represents the conclusion of the late Rex Bergstrom's pioneering work in this field and synthesizes economic theory with mathematics and statistics in the way that characterizes his approach to macroeconomic modeling. An essential read for all macroeconometric modelers and continuous time econometricians.' Marcus Chambers, University of Essex

Review of the hardback: 'This volume contains an exceptionally detailed account of a continuous-time model of the UK economy, describing both econometric theory and empirical application. The presentation is clear and rigorous, and the volume should be of interest to macroeconometric model-builders worldwide. It is a fitting epitaph to Rex Bergstrom's pioneering and extensive contributions to continuous-time modeling in econometrics.' Peter M. Robinson, London School of Economics

Book Description

This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. It describes the model in detail 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.

"About this title" may belong to another edition of this title.

Publisher
Cambridge University Press
Publication date
2012
Language
English
ISBN 10 
1107411238
ISBN 13 
9781107411234
Binding
Paperback
Number of pages
314