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Author Faliva, Mario

Title Topics in dynamic model analysis : advanced matrix methods and unit-root econometrics representation theorems / Mario Faliva, Maria Grazia Zoia
Published Berlin ; New York : Springer, ©2006

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Description 1 online resource (x, 144 pages)
Series Lecture notes in economics and mathematical systems, 0075-8442 ; 558
Lecture notes in economics and mathematical systems ; 558. 0075-8442
Contents The Algebraic Framework of Unit-Root Econometrics -- The Statistical Setting -- Econometric Dynamic Models: From Classical Econometrics to Time Series Econometrics
Summary 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℗Ư 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℗Ư 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℗Ư tation theorem approach. The final form solution - algebraic technicalities apart - arises in the wake of classical difference equation theory, display℗Ư ing besides a transitory autonomous component, an exogenous one along with a stochastic nuisance term. This follows from a properly defined ma℗Ư trix function inversion admitting a Taylor expansion in the lag operator be℗Ư cause of the assumptions regarding the roots of a determinant equation pe℗Ư culiar to SEM specifications
Bibliography Includes bibliographical references (pages 133-135)
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In Springer e-books
Subject Econometrics.
BUSINESS & ECONOMICS -- Econometrics.
BUSINESS & ECONOMICS -- Statistics.
Dynamische modellen.
Econometrische modellen.
Matrices.
Econometrics.
Affaires.
Science économique.
Economie de l'entreprise.
Econometrics
Dynamische modellen.
Econometrische modellen.
Matrices.
Genre/Form Electronic books
Statistics
Form Electronic book
Author Zoia, Maria Grazia
ISBN 3540261966
9783540261964
354029239X
9783540292395