Economy Wide Modelling In Continuous Time
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Economy Wide Modelling In Continuous Time
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Author :
language : en
Publisher:
Release Date : 1982
Economy Wide Modelling In Continuous Time written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with categories.
Continuous Time Econometrics
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Author : G. Gandolfo
language : en
Publisher: Springer Science & Business Media
Release Date : 1993
Continuous Time Econometrics written by G. Gandolfo 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 1993 with Business & Economics categories.
Time elapses continuously not in discrete jumps of, say, a quarter or a month. Hence models specified in continuous time are more realistic than the usual models in which time is taken to elapse in such discrete jumps. However much data available to economists is of the discrete-time kind. This was once thought to render impossible the econometric estimation of continuous time models. Over the past decade a body of theory has been built up to show that such estimation is not only possible but has serious practical applications. This collection of essays aims to provide not only the latest developments in the theory but also with original examples to show how it is possible to implement in real situations. Econometricians may find this book useful reading as may those concerned with macroeconomic issues who wish to keep in touch with the "frontiers" of their subject.
Statistical Inference In Continuous Time Economic Models
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Author : Albert Rex Bergstrom
language : en
Publisher: North-Holland
Release Date : 1976
Statistical Inference In Continuous Time Economic Models written by Albert Rex Bergstrom and has been published by North-Holland this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Business & Economics categories.
Non-recursive models as discrete approximations to systems of stochastic differential equations; Some discrete approximations to continuous time stochastic models; Econometric estimation of stochastic differential equation systems; The structural estimation of a stochastic differnetial equation system; The problem of identification in finite parameter continuous time models; The estimation of linear stochastic differnetial equations with exogenous variables; Some computations based on observed data series of the exogenous variable component in continuous systems; Fourier estimation of continuous time models; A model of disequilibrium neoclassical growth and its applications to the United Kingdom.
Continuous Time Econometrics
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Author : G. Gandolfo
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Continuous Time Econometrics written by G. Gandolfo 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.
Continuous-time econometrics is no longer an esoteric subject although most still regard it as such, so much so that it is hardly mentioned in standard textbooks on econometrics. Thanks to the work done in the last 20 years, both the theoretical and the applied side are by now well developed. Methods of estimation have been theoretically elaborated and practically implemented through computer programs. Continuous-time macroeconometric models for different countries have been constructed, estimated and used. Being myself involved in these developments, it was with great pleasure that I accepted the invitation to organize a session on continuous-time econometrics in the context of the International Symposium on Economic Modelling (jointly organized by the University of Urbino and the book series International Studies in Economic Modelling, and co-sponsored by the Consiglio Nazionale delle Ricerche). The reaction of 'continuists' from all over the world was so enthusiastic that I was able to arrange two sessions, one on the theory and the other on the applications. The symposium was held in Urbino on 23-25 July 1990. The papers presented in Urbino have been revised in the light of the discussion at the symposium and the referees' comments. Hence, what is published here should become another standard reference in the field of continuous-time econometrics.
Continuous Time Modeling In The Behavioral And Related Sciences
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Author : Kees van Montfort
language : en
Publisher: Springer
Release Date : 2018-10-11
Continuous Time Modeling In The Behavioral And Related Sciences written by Kees van Montfort and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10-11 with Medical categories.
This unique book provides an overview of continuous time modeling in the behavioral and related sciences. It argues that the use of discrete time models for processes that are in fact evolving in continuous time produces problems that make their application in practice highly questionable. One main issue is the dependence of discrete time parameter estimates on the chosen time interval, which leads to incomparability of results across different observation intervals. Continuous time modeling by means of differential equations offers a powerful approach for studying dynamic phenomena, yet the use of this approach in the behavioral and related sciences such as psychology, sociology, economics and medicine, is still rare. This is unfortunate, because in these fields often only a few discrete time (sampled) observations are available for analysis (e.g., daily, weekly, yearly, etc.). However, as emphasized by Rex Bergstrom, the pioneer of continuous-time modeling in econometrics, neither human beings nor the economy cease to exist in between observations. In 16 chapters, the book addresses a vast range of topics in continuous time modeling, from approaches that closely mimic traditional linear discrete time models to highly nonlinear state space modeling techniques. Each chapter describes the type of research questions and data that the approach is most suitable for, provides detailed statistical explanations of the models, and includes one or more applied examples. To allow readers to implement the various techniques directly, accompanying computer code is made available online. The book is intended as a reference work for students and scientists working with longitudinal data who have a Master's- or early PhD-level knowledge of statistics.
Essays In Economic Dynamics
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Author : Akio Matsumoto
language : en
Publisher: Springer
Release Date : 2016-09-22
Essays In Economic Dynamics written by Akio Matsumoto and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-22 with Business & Economics categories.
This book reflects the state of the art in nonlinear economic dynamics, providing a broad overview of dynamic economic models at different levels. The wide variety of approaches ranges from theoretical and simulation analysis to methodological study. In particular, it examines the local and global asymptotical behavior of both macro- and micro- level mathematical models, theoretically as well as using simulation. It also focuses on systems with one or more time delays for which new methodology has to be developed to investigate their asymptotic properties. The book offers a comprehensive summary of the existing methodology with extensions to the more complex model variants, since considerations on bounded rationality of complex economic behavior provide the foundation underlying choice-theoretic and policy-oriented studies of macro behavior, which impact the real macro economy. It includes 13 chapters addressing traditional models such as monopoly, duopoly and oligopoly in microeconomics and Keynesian, Goodwinian, and Kaldor–Kaleckian models in macroeconomics. Each chapter presents new aspects of these traditional models that have never been seen before. This work renews the past wisdom and reveals tomorrow's knowledge.
Continuous Time Econometric Modelling
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Author : Abram R. Bergstrom
language : en
Publisher: Oxford University Press, USA
Release Date : 1990
Continuous Time Econometric Modelling written by Abram R. Bergstrom and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Business & Economics categories.
Continuous time econometric models require very sophisticated methods and the difficulties involved in these methods have heretofore inhibited the use of the models. In this volume, Bergstrom aims to convince the non-specialist of the applicability of his models to current data. The book is concerned with a new and more realistic type of econometric model in which the economy is assumed to be adjusting continuously rather than at regular intervals of time, e.g. quarterly or annually. The book 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. Part III is concerned with applications and includes material on the well-known Bergstrom-Wymer continuous time macroeconomic model of the United Kingdom.
A Continuous Time Econometric Model Of The United Kingdom With Stochastic Trends
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Author : Albert Rex Bergstrom
language : en
Publisher: Cambridge University Press
Release Date : 2007-04-16
A Continuous Time Econometric Model Of The United Kingdom With Stochastic Trends written by Albert Rex Bergstrom 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 2007-04-16 with Business & Economics categories.
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.
Dynamic Disequilibrium Modeling Theory And Applications
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Author : William A. Barnett
language : en
Publisher: Cambridge University Press
Release Date : 1996-06-13
Dynamic Disequilibrium Modeling Theory And Applications written by William A. Barnett 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 1996-06-13 with Business & Economics categories.
. The organizers of the ninth symposium, which produced the current proceedings volume, were Claude Hillinger at the University of Munich, Giancarlo Gandolfo at the University of Rome "La Sapienza," A. R. Bergstrom at the University of Essex, and P. C. B. Phillips at Yale University.
Modeling Financial Time Series With S Plus
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Author : Eric Zivot
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-11
Modeling Financial Time Series With S Plus written by Eric Zivot 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 2013-11-11 with Business & Economics categories.
The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.