The dynamics of business cycles : stylized facts, economic theory, econometric methodology and applications
著者
書誌事項
The dynamics of business cycles : stylized facts, economic theory, econometric methodology and applications
(Contributions to economics)
Physica-Verlag, c1995
大学図書館所蔵 全27件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Bibliography: p. [207]-212
Includes index
内容説明・目次
内容説明
This study is a revised version of my doctoral dissertation at the Economics Department of the University of Munich. I want to take the opportunity to express my gratitude to some people who have helped me in my work. My greatest thanks go to the supervisor of this dissertation, Professor Claude Billinger. Bis ideas have formed the basis of my work. Be permanently sup ported it with a host of ideas, criticism and encouragement. Furthermore, he provided a stimulating research environment at SEMECON. This study would not have been possible in this form without the help of my present and former colleagues at SEMECON. I am indebted to Rudolf Kohne-Volland, Monika Sebold-Bender and Ulrich Woitek for providing soft ware and guidance for the data analysis. Discussions with them and with Thilo Weser have helped me to take many hurdles, particularly in the early stages of the project. My sincere thanks go to them all. I had the opportunity to present a former version of my growth model at a workshop of Professor Klaus Zimmermann. I want to thank all the parti cipants for their helpful comments. I also acknowledge critical and constructive comments from an anonymous referee. Table of Contents Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Part I. Methodology 1. Importance of Stylized Facts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 1.1 Limitations of statistical testing. . . . . . . . . . . . . . . . . . . . . . . . . . 9 1.2 Evaluating economic models. . . . . . . . . . . . . . . . . . .. . . . 11 . . . . . . 2. Further Methodological Issues . . . . . . . . . . . . . . . . . .. . . . 13 . . . . . .
目次
I. Methodology.- 1. Importance of Stylized Facts.- 1.1 Limitations of statistical testing.- 1.2 Evaluating economic models.- 2. Further Methodological Issues.- 2.1 Continuous versus discrete time models.- 2.2 Models of cyclical growth versus models of fluctuations.- 2.3 Detrending the data.- 2.4 Annual versus quarterly data.- 2.5 Applying models to more than one country.- II. Business Cycle Stylized Facts.- 3. Stylized Facts: Method.- 3.1 Characterizing deviations from trend: spectral analysis.- 3.2 Spectral estimation: the maximum-entropy spectrum.- 3.3 Cross spectral analysis: interpretation and estimation.- 4. Stylized Facts: Results.- 4.1 Main aggregates of national accounts.- 4.2 Longer series of fixed investment.- 4.3 Private consumption.- 4.4 Nominal variables.- 4.5 Relationship between real and nominal variables.- III. Business Cycle Models.- 5. SOA Models.- 5.1 The SOA of equipment investment.- 5.2 Recent research on inventories.- 5.3 The SOA of production and inventories.- 5.4 Errors in measurement.- 5.5 Empirical results.- 6. Consumption.- 6.1 Two models of consumption.- 6.2 Estimated consumption equations.- 6.3 Complete models.- 6.4 Empirical results.- 6.5 Appendix: computation of permanent income.- 7. Prices and Wages.- 7.1 Introduction.- 7.2 Price and consumption equations.- 7.3 Complete model.- 7.4 Empirical results.- 7.5 Summary: explaining business cycle stylized facts.- IV. Cyclical Growth.- 8. Determinants of Growth.- 8.1 Growth, saving and productivity.- 8.2 Design of the model.- 9. A Real Model of Cyclical Growth.- 9.1 Formulation of the cyclical growth model.- 9.2 Steady state.- 9.3 Deviations from steady state and stability.- 9.4 Time-varying productivity growth.- 9.5 Parameter restrictions and exogenous variables.- 9.6 Empirical results.- 9.7 Appendix I: Linearizations.- 9.8 Appendix II: Linearization error.- V. Continuous Time Econometrics.- 10. Estimating Continuous Time Models.- 10.1 Linear stochastic differential equations.- 10.2 Estimation of a first order system.- 11. The Discrete Kalman Filter.- 11.1 The state space model.- 11.2 The Kalman filter: recursive formulas and ML-estimates.- 11.3 Initialising the Kalman filter.- 12. An Exact Gaussian Estimator for General Linear Continuous Time Models.- 12.1 The exact discrete analogue.- 12.2 Evaluation of integrals.- 12.3 Efficient computation of the filter.- 12.4 Exogenous variables.- 12.5 Fixed-interval smoothing.- 13. Further Topics.- 13.1 Asymptotic properties of the estimators.- 13.2 Sensitivity analysis.- 13.3 A Monte-Carlo study.- 13.4 Spectral densities of continuous time models.- 13.5 Numerical maximization.- 13.6 Partial adjustment equations.- Conclusions.- A. Abbreviations.- B. Data.- References.
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