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Author : L. Broze
Publisher :
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.:/5 (92 download)
Download or read book Identification and Consistent Estimation of Multivariate Models with Rational Expectations written by L. Broze and published by . This book was released on 1987 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : L.. Broze
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (489 download)
Download or read book Identification and Consistent Estimation of Multivariate Linear Models with Rational Expectations of Current Variables written by L.. Broze and published by . This book was released on 1986 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : L. Broze
Publisher : Elsevier
ISBN 13 : 1483296288
Total Pages : 249 pages
Book Rating : 4.4/5 (832 download)
Download or read book The Econometric Analysis of Non-Uniqueness in Rational Expectations Models written by L. Broze and published by Elsevier. This book was released on 2014-06-28 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the econometric analysis of linear multivariate rational expectation models. It shows that the interpretation of multiplicity in terms of "new degrees of freedom" is consistent with a rigorous econometric reasoning. Non-uniqueness is the central theme of this book. Each chapter is concerned with a specific econometric aspect of rational expectations equilibria. The most constructive result lies in the possibility of an empirical determination of the equilibrium followed by the economy.
Author : Mark David Feldman
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (15 download)
Download or read book Estimation and Learning in Models of Rational Expectations written by Mark David Feldman and published by . This book was released on 1982 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eelke de Jong
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (642 download)
Download or read book Consistent Estimation of Simultaneous Models with Partly Rational Expectations written by Eelke de Jong and published by . This book was released on 1986 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Katarzyna Filipiak
Publisher : Springer Nature
ISBN 13 : 3030754944
Total Pages : 357 pages
Book Rating : 4.0/5 (37 download)
Download or read book Multivariate, Multilinear and Mixed Linear Models written by Katarzyna Filipiak and published by Springer Nature. This book was released on 2021-10-01 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the latest findings on statistical inference in multivariate, multilinear and mixed linear models, providing a holistic presentation of the subject. It contains pioneering and carefully selected review contributions by experts in the field and guides the reader through topics related to estimation and testing of multivariate and mixed linear model parameters. Starting with the theory of multivariate distributions, covering identification and testing of covariance structures and means under various multivariate models, it goes on to discuss estimation in mixed linear models and their transformations. The results presented originate from the work of the research group Multivariate and Mixed Linear Models and their meetings held at the Mathematical Research and Conference Center in Będlewo, Poland, over the last 10 years. Featuring an extensive bibliography of related publications, the book is intended for PhD students and researchers in modern statistical science who are interested in multivariate and mixed linear models.
Author : M. Hashem Pesaran
Publisher : Oxford University Press
ISBN 13 : 0198736916
Total Pages : 1095 pages
Book Rating : 4.1/5 (987 download)
Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press. This book was released on 2015 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.
Author : Mr.Francis Vitek
Publisher : International Monetary Fund
ISBN 13 : 148438878X
Total Pages : 24 pages
Book Rating : 4.4/5 (843 download)
Download or read book A Closed Form Multivariate Linear Filter written by Mr.Francis Vitek and published by International Monetary Fund. This book was released on 2018-12-10 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous penalty term difference orders and static restrictions, as well as to a generalized problem featuring heterogeneous penalty term difference orders and dynamic restrictions. We use our Generalized Multivariate Linear Filter to jointly estimate potential output, the natural rate of unemployment and the natural rate of interest, conditional on selected equilibrium conditions from a calibrated New Keynesian model.
Download or read book Determinacy, Indeterminacy and Dynamic Misspecification in Linear Rational Expectations Models written by and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a testing strategy for the null hypothesis that a multivariate linear rational expectations (LRE) model has a unique stable solution (determinacy) against the alternative of multiple stable solutions (indeterminacy). Under a proper set of identification restrictions, determinacy is investigated by a misspecification-type approach in which the result of the overidentifying restrictions test obtained from the estimation of the LRE model through a version of generalized method of moments is combined with the result of a likelihood-based test for the cross-equation restrictions that the LRE places on its finite order reduced form under determinacy. This approach (i) circumvents the nonstandard inferential problem that a purely likelihood-based approach implies because of the presence of nuisance parameters that appear under the alternative but not under the null, (ii) does not involve inequality parametric restrictions and nonstandard asymptotic distributions, and (iii) gives rise to a joint test which is consistent against indeterminacy almost everywhere in the space of nuisance parameters, i.e. except for a point of zero measure which gives rise to minimum state variable solutions, and is also consistent against the dynamic misspecification of the LRE model. Monte Carlo simulations show that the testing strategy delivers reasonable size coverage and power in finite samples. An empirical illustration focuses on the determinacy/indeterminacy of a New Keynesian monetary business cycle model for the US.
Author : Frederic S. Mishkin
Publisher : University of Chicago Press
ISBN 13 : 0226531929
Total Pages : 184 pages
Book Rating : 4.2/5 (265 download)
Download or read book A Rational Expectations Approach to Macroeconometrics written by Frederic S. Mishkin and published by University of Chicago Press. This book was released on 2007-11-01 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.
Author : Mr.Vadim Khramov
Publisher : International Monetary Fund
ISBN 13 : 1475582463
Total Pages : 36 pages
Book Rating : 4.4/5 (755 download)
Download or read book Assessing Dsge Models with Capital Accumulation and Indeterminacy written by Mr.Vadim Khramov and published by International Monetary Fund. This book was released on 2012-03-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate substantial persistencies in the dynamics of the main economic variables, due to the stock nature of capital. Empirical estimates on U.S. data from 1960:I to 2008:I show the response of monetary policy to inflation was almost twice lower than traditionally considered, as capital accumulation creates an additional channel of influence through real interest rates in the production sector. Versions of the model with indeterminacy empirically outperform determinate versions. This paper allows for the reconsideration of previous findings and has significant monetary policy implications.
Author : Badi H. Baltagi
Publisher : Emerald Group Publishing
ISBN 13 : 1781903077
Total Pages : 576 pages
Book Rating : 4.7/5 (819 download)
Download or read book Essays in Honor of Jerry Hausman written by Badi H. Baltagi and published by Emerald Group Publishing. This book was released on 2012-12-17 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.
Author : Arnold Zellner
Publisher : Cambridge University Press
ISBN 13 : 9781139453431
Total Pages : 736 pages
Book Rating : 4.4/5 (534 download)
Download or read book The Structural Econometric Time Series Analysis Approach written by Arnold Zellner and published by Cambridge University Press. This book was released on 2004-10-21 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bringing together a collection of previously published work, this book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.
Author : Tata Subba Rao
Publisher : Elsevier
ISBN 13 : 0444538585
Total Pages : 778 pages
Book Rating : 4.4/5 (445 download)
Download or read book Time Series Analysis: Methods and Applications written by Tata Subba Rao and published by Elsevier. This book was released on 2012-06-26 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.
Author : M. Hashem Pesaran
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (593 download)
Download or read book Two-step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models written by M. Hashem Pesaran and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Brillinger
Publisher : Springer Science & Business Media
ISBN 13 : 1461392969
Total Pages : 391 pages
Book Rating : 4.4/5 (613 download)
Download or read book New Directions in Time Series Analysis written by David Brillinger and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: This IMA Volume in Mathematics and its Applications NEW DIRECTIONS IN TIME SERIES ANALYSIS, PART II is based on the proceedings of the IMA summer program "New Directions in Time Series Analysis. " We are grateful to David Brillinger, Peter Caines, John Geweke, Emanuel Parzen, Murray Rosenblatt, and Murad Taqqu for organizing the program and we hope that the remarkable excitement and enthusiasm of the participants in this interdisciplinary effort are communicated to the reader. A vner Friedman Willard Miller, Jr. PREFACE Time Series Analysis is truly an interdisciplinary field because development of its theory and methods requires interaction between the diverse disciplines in which it is applied. To harness its great potential, strong interaction must be encouraged among the diverse community of statisticians and other scientists whose research involves the analysis of time series data. This was the goal of the IMA Workshop on "New Directions in Time Series Analysis. " The workshop was held July 2-July 27, 1990 and was organized by a committee consisting of Emanuel Parzen (chair), David Brillinger, Murray Rosenblatt, Murad S. Taqqu, John Geweke, and Peter Caines. Constant guidance and encouragement was provided by Avner Friedman, Director of the IMA, and his very helpful and efficient staff. The workshops were organized by weeks. It may be of interest to record the themes that were announced in the IMA newsletter describing the workshop: l.
Author : Matthew Shum
Publisher : World Scientific
ISBN 13 : 981310967X
Total Pages : 154 pages
Book Rating : 4.8/5 (131 download)
Download or read book Econometric Models For Industrial Organization written by Matthew Shum and published by World Scientific. This book was released on 2016-12-14 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Models for Industrial Organization focuses on the specification and estimation of econometric models for research in industrial organization. In recent decades, empirical work in industrial organization has moved towards dynamic and equilibrium models, involving econometric methods which have features distinct from those used in other areas of applied economics. These lecture notes, aimed for a first or second-year PhD course, motivate and explain these econometric methods, starting from simple models and building to models with the complexity observed in typical research papers. The covered topics include discrete-choice demand analysis, models of dynamic behavior and dynamic games, multiple equilibria in entry games and partial identification, and auction models.
