Dynamic Econometric Modeling
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Bayesian Inference In Dynamic Econometric Models
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Author : Luc Bauwens
language : en
Publisher: OUP Oxford
Release Date : 2000-01-06
Bayesian Inference In Dynamic Econometric Models written by Luc Bauwens and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-01-06 with Business & Economics categories.
This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on simulations (such as Markov Chain Monte Carlo methods), and the long available analytical results of Bayesian inference for linear regression models. It thus covers a broad range of rather recent models for economic time series, such as non linear models, autoregressive conditional heteroskedastic regressions, and cointegrated vector autoregressive models. It contains also an extensive chapter on unit root inference from the Bayesian viewpoint. Several examples illustrate the methods.
Dynamic Econometrics For Empirical Macroeconomic Modelling
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Author : Ragnar Nymoen
language : en
Publisher: World Scientific
Release Date : 2019-07-09
Dynamic Econometrics For Empirical Macroeconomic Modelling written by Ragnar Nymoen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-09 with Business & Economics categories.
For Masters and PhD students in EconomicsIn this textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models.The book also contains chapters on: exogeneity, in the context of estimation, policy analysis and forecasting; automatic (computer based) variable selection, and how it can aid in the specification of an empirical macroeconomic model; and finally, on a common framework for model-based economic forecasting.Supplementary materials and notes are available on the publisher's website.
Dynamic Econometric Modeling
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Author : William A. Barnett
language : en
Publisher:
Release Date : 1988-06-24
Dynamic Econometric Modeling written by William A. Barnett and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-06-24 with Business & Economics categories.
Presentations of some of the fundamental new research in dynamic econometric modeling.
Dynamic Econometric Modeling
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Author : William A. Barnett
language : en
Publisher:
Release Date : 1988
Dynamic Econometric Modeling written by William A. Barnett and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with categories.
Estimation Of Dynamic Econometric Models With Errors In Variables
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Author : Jaime Terceiro Lomba
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Estimation Of Dynamic Econometric Models With Errors In Variables written by Jaime Terceiro Lomba and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
A new procedure for the maximum-likelihood estimation of dynamic econometric models with errors in both endogenous and exogenous variables is presented in this monograph. A complete analytical development of the expressions used in problems of estimation and verification of models in state-space form is presented. The results are useful in relation not only to the problem of errors in variables but also to any other possible econometric application of state-space formulations.
Dynamic Econometrics
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Author : David F. Hendry
language : en
Publisher:
Release Date : 1995
Dynamic Econometrics written by David F. Hendry and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Business & Economics categories.
The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling. Professor Hendry deals with methodological issues (model discovery, data mining, and progressive research strategies); with major tools for modelling (recursive methods, encompassing, super exogeneity, invariance tests); and with practical problems (collinearity, heteroscedasticity, and measurement errors). He also includes an extensive study of US money demand. The book is self-contained, with the technical background covered in appendices. It is thus suitable for first year graduate students, and includes solved examples and exercises to facilitate its use in teaching. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
Introduction To Dynamic Economic Models
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Author : Brian S. Ferguson
language : en
Publisher:
Release Date : 1998
Introduction To Dynamic Economic Models written by Brian S. Ferguson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
Unnecessary complexity has been avoided, yet the models have been presented in the same general form as they appear in the professional literature.
Dynamic Linear Economic Models
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Author : James L. Kenkel
language : en
Publisher: Routledge
Release Date : 2018-04-09
Dynamic Linear Economic Models written by James L. Kenkel and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-04-09 with Business & Economics categories.
Originally published in 1974. This book provides a rigorous and detailed introductory treatment of the theory of difference equations and their applications in the construction and analysis of dynamic economic models. It explains the theory of linear difference equations and various types of dynamic economic models are then analysed. Including plenty of examples of application throughout the text, it will be of use to those working in macroeconomics and econometrics.
Dynamic Econometric Modeling And Forecasting
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Author : Allan Timmermann
language : en
Publisher:
Release Date : 2013
Dynamic Econometric Modeling And Forecasting written by Allan Timmermann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The Structural Econometric Time Series Analysis Approach
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Author : Arnold Zellner
language : en
Publisher: Cambridge University Press
Release Date : 2004-10-21
The Structural Econometric Time Series Analysis Approach written by Arnold Zellner and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-10-21 with Business & Economics categories.
Bringing together a collection of previously published work, this book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.