Continuous time econometric modelling
著者
書誌事項
Continuous time econometric modelling
（Recent advances in econometrics）
Clarendon Press , Oxford University Press, 1990
- : pbk
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
Continuous Time Econometric Modelling is concerned with a new and more realistic type of econometric model pioneered by Bergstrom, in which the economy is assumed to be adjusting continuously rather than at regular intervals of time, such as quarterly and annually. It is divided into three sections. Part I looks at theoretical models of cyclical growth which have provided the basis for much of the applied work on continuous time macroeconometric models. Part II is concerned with econometric methodology and includes papers on estimation, testing, forecasting and optimal control. In particular, it includes recent material in which the author develops powerful new methods of exact Gaussian estimation for higher order continuous time dynamic models. These methods are, potentially, of practical importance for increasing the accuracy of economic forecasts. It also includes a chapter on hypothesis testing.
Part III is concerned with applications and includes material on the well-known Bergstrom-Wymer continuous time and macroeconomic model of the United Kingdom and a chapter applying exact Gaussian estimation methods to a continuous time model of demand for consumer durable goods in the United Kingdom.
目次
- Part 1 Theoretical models of cyclical growth: a model of technical progress, the production function and cyclical growth
- monetary phenomena and economic growth - a synthesis of neoclassical and Keynsian theories. Part 2 Estimation, forecasting and control: nonrecursive models as discrete approximations to systems of stochastic differential equations
- Gaussian estimation of structural parameters in higher order
- continuous time dynamic models
- the estimation of parameters in nonstationary higher order
- continuous time dynamic models
- the estimation of open higher order continuous time dynamic
- models with mixed stock and flow data
- hypothesis testing in continuous time econometric models
- optimal forecasting of discrete stock and flow data
- generated by a higher order continuous time system
- optimal control in wide-sense stationary continous time
- stochastic models. Part 3 Applications: a model of disequilibrium neoclassical growth and its application to the United Kingdom, C.R.Wymer
- monetary, fiscal, and exchange rate policy in a continuous time econometric model of the United Kingdom
- Gaussian estimation of a continuous time model of demand for consumer durable goods with applications to demand in the United Kingdom, 1973-84, M.J.Chambers.
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