Book contents
- Frontmatter
- Contents
- List of Figures and Tables
- Foreword by Peter C. B. Phillips
- Preface
- 1 Introduction to Continuous Time Modelling
- 2 Continuous Time Econometrics with Stochastic Trends
- 3 Model Specification
- 4 Steady State and Stability Analysis
- 5 Empirical Estimation of the Model and Derived Results
- References
- Author Index
- Subject Index
Preface
Published online by Cambridge University Press: 03 March 2010
- Frontmatter
- Contents
- List of Figures and Tables
- Foreword by Peter C. B. Phillips
- Preface
- 1 Introduction to Continuous Time Modelling
- 2 Continuous Time Econometrics with Stochastic Trends
- 3 Model Specification
- 4 Steady State and Stability Analysis
- 5 Empirical Estimation of the Model and Derived Results
- References
- Author Index
- Subject Index
Summary
Over the last 30 years there has been a growing use of continuous time econometric methods in macroeconomic modelling. Economy-wide continuous time macroeconometric models have been developed for most of the leading industrial countries of the world. This monograph presents the first continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modelling. The book describes the new model in detail and like earlier models it is designed in such a way as 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. The model is estimated using exact Gaussian estimation methods for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion on the application of the model to dynamic analysis and forecasting.
An earlier version of this work was presented at the Cowles Foundation Conference on Recent Developments in Time Series Econometrics, Yale University, 1999; the 3rd Japan Economic Policy Association International Conference, Tokyo, 2004; Westminster Business School, 2004; and the 3rd Nordic Econometric Meeting, Helsinki, 2005. We are grateful for comments from these presentations. Ben Nowman would like to give special thanks to Peter Phillips for his extensive comments and support in helping him to revise the book. I also thank Peter Phillips for kindly sending me the photo of Rex Bergstrom and for permission to use it.
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- Information
- Publisher: Cambridge University PressPrint publication year: 2007