Albert Rex Bergstrom, Khalid Ben Nowman's A Continuous Time Econometric Model of the United Kingdom PDF

By Albert Rex Bergstrom, Khalid Ben Nowman

ISBN-10: 0521875498

ISBN-13: 9780521875493

During the last thirty years there was broad use of continuing time econometric equipment in macroeconomic modelling. This monograph provides the 1st non-stop time macroeconometric version of the uk incorporating stochastic traits. Its improvement represents a huge breakthrough in non-stop time macroeconomic modelling. The publication describes the recent version intimately and, like prior versions, it really is designed in one of these method as to allow a rigorous mathematical research of its steady-state and balance houses, therefore delivering a beneficial money at the skill of the version to generate believable long-run behaviour. The version is predicted utilizing newly constructed specific Gaussian estimation tools for non-stop time econometric types incorporating unobservable stochastic traits. The publication additionally comprises dialogue of the appliance of the version to dynamic research and forecasting.

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Extra resources for A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends

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This leads to estimates that are not asymptotically efficient compared to the 35 Continuous Time Econometric Model of UK with Stochastic Trends exact discrete model approach. The Bergstrom and Wymer [1976] model was estimated on quarterly UK data over 1955–66 using the exact discrete model, but even in this case the exact restrictions were imposed only on the autoregressive coefficient matrices and therefore the final estimates were also not asymptotically efficient as the moving average component of the VARMA model was only approximately allowed for using their transformation for flow variables.

One important interest rate model was developed by Chan, Karolyi, Longstaff and Sanders [1992, CKLS, hereafter], which had the advantage of nesting as special cases a range of different short rate models. These special cases included the models of Merton [1973a], Vasicek [1977], Cox, Ingersoll and Ross [1985, CIRSR], Dothan [1978], Brennan and Schwartz [1980, BRSC], Cox, Ingersoll and Ross [1980, CIRVR], Constant Elasticity of Variance (CEV) model of Cox [1975], Cox and Ross [1976] and the Geometric Brownian Motion (GBM) model (see Sundaresan [2000] for further models).

T ). 9) The coefficient matrices and the error term covariance matrix E(ηη ) = were shown to be complicated func- tions of the underlying parameters of the continuous time model (see Bergstrom [1986] for precise forms). Bergstrom [1986] then derived the exact Gaussian likelihood function to obtain the exact Gaussian estimates. 10) i=1 in which the term mii represents the ith diagonal element of M and ε = [ε1 , . . , εnT ] is a vector whose elements can be evaluated recursively from Mε = η. The Gaussian estimates ˆ µ, [θ, ˆ yˆ ] of [θ, µ, y] are then obtained from the iterative procedure proposed by Bergstrom [1985, 1986].

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A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends by Albert Rex Bergstrom, Khalid Ben Nowman


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