Structural Econometric Time Series Analysis Approach (eBook, PDF)

Redaktion: Zellner, Arnold

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 21. Oktober 2004
• Englisch
• ISBN-13: 9780511227127
• Artikelnr.: 38212578

Autorenporträt

Arnold Zellner is H. G. B. Alexander Distinguished Service Professor Emeritus of Economics and Statistics, Graduate School of Business, University of Chicago and Adjunct Professor, University of California at Berkeley. He has published books and many articles on the theory and application of econometrics and statistics to a wide range of problems.
Franz C. Palm is Professor of Econometrics, Faculty of Economics and Business Administration, Maastricht University. He has published many articles on the theory and application of econometrics and statistics to a wide range of problems.

Inhaltsangabe

Introduction; Part I. The SEMTSA Approach: 1. Time series analysis and
simultaneous equation econometric models A. Zellner and F. C. Palm; 2.
Statistical analysis of econometric models A. Zellner; 3. Structural
econometric modeling and time series analysis: an integrated approach F. C.
Palm; 4. Time series analysis, forecasting and econometric modeling: the
structural econometric modeling, times series analysis (SEMTSA) approach A.
Zellner; 5. Large sample estimation and testing procedures for dynamic
equation systems F. Palm and A. Zellner; Part II. Selected Applications: 6.
Time series and structural analysis of monetary models of the US economy A.
Zellner and F. Palm; 7. Time series versus structural models: a case study
of Canadian manufacturing inventory behavior P. K. Trivedi; 8. Time series
analysis of the German hyperinflation P. Evans; 9. A time series analysis
of seasonality in econometric models C. I. Plosser; 10. The behavior of
speculative prices and the consistency of economic models R. I. Webb; 11. A
comparison of the stochastic processes of structural and time series
exchange rate models F. W. Ahking and S. M. Miller; 12. Encompassing
univariate models in multivariate times series: a case study A. Maravall
and A. Mathis; Part III. Macroeconomic Forecasting and Modeling: 13.
Macroeconomic forecasting using pooled international data A. Garcia-Ferrer,
R. A. Highfield, F. Palm and A. Zellner; 14. Forecasting international
growth rates using Bayesian shrinkage and other procedures A. Zellner and
C. Hong; 15. Turning points in economic time series, loss structures and
Bayesian forecasting A. Zellner, C. Hong and G. M. Gulati; 16. Forecasting
turning points in international output growth rates using Bayesian
exponentially weighted autoregression, time-varying parameter and pooling
techniques A. Zellner, C. Hong and C. Min; 17. Bayesian and non-Bayesian
methods for combining models and forecasts with applications to forecasting
international growth rates C. Min and A. Zellner; 18. Pooling in dynamic
panel data models: an application to forecasting GDP growth rates A. J.
Hoogstrate, F. C. Palm and G. A. Pfann; 19. Forecasting turning points in
countries' output growth rates: a response to Milton Friedman A. Zellner
and C. Min; 20. Using Bayesian techniques for data pooling in regional
payroll forecasting J. P. LeSage and M. Magura; 21. Forecasting turning
points in metropolitan employment growth rates using Bayesian techniques J.
P. LeSage; 22. A note on aggregation, disaggregation and forecasting
performance A. Zellner and J. Tobias; 23. The Marshallian macroeconomic
model A. Zellner; 24. Bayesian modeling of economies and data requirements
A. Zellner and B. Chen.