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

This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends.

Albert Rex Bergstrom (Author), Khalid Ben Nowman (Author)

9780521875493, Cambridge University Press

Hardback, published 16 April 2007

314 pages
21.6 x 14 x 2.2 cm, 0.55 kg

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

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.

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.

Subject Areas: Applied mathematics [PBW], Public finance [KFFD], Economic statistics [KCHS], Economics [KC]