Structural sensitivity in econometric models

書誌事項

Structural sensitivity in econometric models

Edwin Kuh, John W. Neese, Peter Hollinger

(Wiley series in probability and mathematical statistics, . Applied probability and statistics)

J. Wiley, c1985

  • est.

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注記

Bibliography: p. 310-313

Includes index

内容説明・目次

内容説明

This reference assesses the value of linear dynamic system analysis for understanding how complex econometric models work. Emphasizing methodology in the context of a medium-sized econometric model, the Michigan Quarterly Econometric Model of the U.S., it examines various analytical techniques, including systematic assessment of parameter sensitivity, sorting-out procedures, and some properties of the MQEM. The book augments the standard "black box" approach to analyzing economic model structure with more powerful concepts.

目次

  • Essentials of Model Structure
  • Procedures for Model Understanding
  • Some Properties of the MQEM
  • Preliminary Complete Model Dynamics
  • Multiplier and Parameter Perturbations in the MQEM
  • Reduced Models and the MQEM
  • Bibliography
  • Index.

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