Download e-book for iPad: 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 broad use of constant time econometric equipment in macroeconomic modelling. This monograph offers the 1st non-stop time macroeconometric version of the uk incorporating stochastic developments. Its improvement represents an important breakthrough in non-stop time macroeconomic modelling. The publication describes the hot version intimately and, like prior versions, it truly is designed in any such manner as to allow a rigorous mathematical research of its steady-state and balance homes, hence delivering a important cost at the skill of the version to generate believable long-run behaviour. The version is anticipated utilizing newly constructed precise Gaussian estimation equipment for non-stop time econometric types incorporating unobservable stochastic developments. The e-book additionally contains dialogue of the appliance 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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Continuous time multi-factor models have found widespread application in financial market derivative valuation. Examples of the factors include in addition to the short rate, the long rate, volatility of the short rate, time varying central tendency of the short rate, spreads and news 28 Introduction to Continuous Time Modelling streams. An important two-factor continuous time model was developed by Brennan and Schwartz [1979] where the first factor is the short rate and the second factor the consol rate.

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.

Most previous continuous time macroeconometric models have not been estimated by econometric methods that take into account the exact restrictions on the distribution of the discrete data implied by the continuous time model. They have used the discrete approximation method with a transformation developed by Phillips [1974b] and Bergstrom and Wymer [1976] for the temporal aggregation problem arising from flow variables with the full information maximum likelihood estimator. 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.

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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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