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The Structural Econometric Time Series Analysis Approach

The Structural Econometric Time Series Analysis Approach

Hardback (21 Oct 2004)

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Publisher's Synopsis

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.

About the Publisher

Cambridge University Press

Cambridge University Press dates from 1534 and is part of the University of Cambridge. We further the University's mission by disseminating knowledge in the pursuit of education, learning and research at the highest international levels of excellence.

Book information

ISBN: 9780521814072
Publisher: Cambridge University Press
Imprint: Cambridge University Press
Pub date:
DEWEY: 330.01519232
DEWEY edition: 22
Language: English
Number of pages: 718
Weight: 1282g
Height: 236mm
Width: 159mm
Spine width: 50mm