Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modelling. This monograph presents a 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 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 newly developed exact Gaussian estimation methods for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.Read more
- Provides a complete description of modeling in the UK economy
- The senior author was the world's leading analyst of continuous time econometric modeling until his death last year
- The model is a highly plausible representation of real-world economic conditions
Reviews & endorsements
Review of the hardback: 'Discrete time models imply that all transactions occur at boundaries of discrete time intervals, with all markets closed within the interiors of those intervals. Since the sequence of boundary points is measure zero on the time line, discrete time macroeconometric models imply that the economy exists 'almost nowhere' in Lebesgue measure. This formidable book by Bergstrom and Nowman leads the way for macroeconometric modeling, as it should be done.' William A. Barnett, University of Kansas and Editor, Macroeconomic DynamicsSee more reviews
Review of the hardback: 'This superb monograph sets a new benchmark for continuous time macroeconometric modeling. The model represents the conclusion of the late Rex Bergstrom's pioneering work in this field and synthesizes economic theory with mathematics and statistics in the way that characterizes his approach to macroeconomic modeling. An essential read for all macroeconometric modelers and continuous time econometricians.' Marcus Chambers, University of Essex
Review of the hardback: 'This volume contains an exceptionally detailed account of a continuous-time model of the UK economy, describing both econometric theory and empirical application. The presentation is clear and rigorous, and the volume should be of interest to macroeconometric model-builders worldwide. It is a fitting epitaph to Rex Bergstrom's pioneering and extensive contributions to continuous-time modeling in econometrics.' Peter M. Robinson, London School of Economics
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- Date Published: October 2012
- format: Paperback
- isbn: 9781107411234
- length: 314 pages
- dimensions: 216 x 140 x 17 mm
- weight: 0.37kg
- availability: Available
Table of Contents
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.
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