Topics in Dynamic Model Analysis: Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems (Lecture Notes in Economics and Mathematical Systems, 558, Band 558) - Softcover

Faliva, Mario; Zoia, Maria Grazia

Softcover

ISBN 10: 3540261966 ISBN 13: 9783540261964

Verlag: Springer, 2008

Inhaltsangabe

Classical econometrics - which plunges its roots in economic theory with simultaneous equations models (SEM) as offshoots - and time series econometrics - which stems from economic data with vector autoregr- sive (VAR) models as offsprings - scour, like the Janus's facing heads, the flowing of economic variables so as to bring to the fore their autonomous and non-autonomous dynamics. It is up to the so-called final form of a dy­ namic SEM, on the one hand, and to the so-called representation theorems of (unit-root) VAR models, on the other, to provide informative closed form expressions for the trajectories, or time paths, of the economic vari­ ables of interest. Should we look at the issues just put forward from a mathematical standpoint, the emblematic models of both classical and time series econometrics would turn out to be difference equation systems with ad hoc characteristics, whose solutions are attained via a final form or a represen­ tation theorem approach. The final form solution - algebraic technicalities apart - arises in the wake of classical difference equation theory, display­ ing besides a transitory autonomous component, an exogenous one along with a stochastic nuisance term. This follows from a properly defined ma­ trix function inversion admitting a Taylor expansion in the lag operator be­ cause of the assumptions regarding the roots of a determinant equation pe­ culiar to SEM specifications.

Details zur Ausgabe

• Verlag: Springer
• Erscheinungsdatum: 2008
• Sprache: Englisch
• ISBN 10: 3540261966
• ISBN 13: 9783540261964
• Einband: Taschenbuch
• Auflage: 1
• Anzahl der Seiten: 156
• Kontakt zum Hersteller: Nicht verfügbar
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