Download e-book for kindle: A Continuous Time Econometric Model of the United Kingdom by Albert Rex Bergstrom, Khalid Ben Nowman

By Albert Rex Bergstrom, Khalid Ben Nowman

ISBN-10: 0521875498

ISBN-13: 9780521875493

Over the past thirty years there was huge use of constant time econometric tools in macroeconomic modelling. This monograph offers the 1st non-stop time macroeconometric version of the uk incorporating stochastic traits. Its improvement represents a huge leap forward in non-stop time macroeconomic modelling. The publication describes the hot version intimately and, like previous types, it truly is designed in this sort of means as to allow a rigorous mathematical research of its steady-state and balance houses, hence delivering a useful fee at the ability of the version to generate believable long-run behaviour. The version is expected utilizing newly constructed targeted Gaussian estimation tools for non-stop time econometric types incorporating unobservable stochastic traits. The e-book additionally comprises dialogue of the applying of the version to dynamic research and forecasting.

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Additional info for A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends

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1) where x(t) = {x1 (t), . . , xn (t)} is a n-dimensional continuous time random process, A(θ) is an n × n matrix whose elements are functions of a vector θ = [θ1 , . . , θ p ] of unknown structural parameters ( p ≤ n(n + 1)) and b(θ) is a vector that is a function of θ . The error term ζ(dt) is assumed to be a vector of white noise innovations (see Bergstrom 9 Continuous Time Econometric Model of UK with Stochastic Trends [1984a] for a precise definition and interpretation of this system). We assume the continuous time model generates equispaced discrete data observed as the sequence {x(0), x(1), .

P ] of unknown structural parameters ( p ≤ n(n + 1)) and b(θ) is a vector that is a function of θ . The error term ζ(dt) is assumed to be a vector of white noise innovations (see Bergstrom 9 Continuous Time Econometric Model of UK with Stochastic Trends [1984a] for a precise definition and interpretation of this system). We assume the continuous time model generates equispaced discrete data observed as the sequence {x(0), x(1), . } and our objective is to estimate the parameters of the continuous time model.

Over the last 30 years a significant area of application of continuous time models has been in the modelling of interest rates using linear and nonlinear models for use in fixed income financial markets. 18 Introduction to Continuous Time Modelling Typically, these models are used in the valuation of different types of bonds and bond options in various bond markets (for example, government, corporate, mortgage-backed). The various features of interest rates we would like to capture include a drift element and also the idea of mean reversion in interest rates.

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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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