Description |
1 online resource (x, 144 pages) |
Series |
Lecture notes in economics and mathematical systems, 0075-8442 ; 558 |
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Lecture notes in economics and mathematical systems ; 558. 0075-8442
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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) |
Notes |
Print version record |
In |
Springer e-books |
Subject |
Econometrics.
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BUSINESS & ECONOMICS -- Econometrics.
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BUSINESS & ECONOMICS -- Statistics.
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Dynamische modellen.
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Econometrische modellen.
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Matrices.
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Econometrics.
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Affaires.
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Science économique.
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Economie de l'entreprise.
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Econometrics
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Dynamische modellen.
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Econometrische modellen.
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Matrices.
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Genre/Form |
Electronic books
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Statistics
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Form |
Electronic book
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Author |
Zoia, Maria Grazia
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ISBN |
3540261966 |
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9783540261964 |
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354029239X |
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9783540292395 |
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