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Continuous-Time Econometrics : Theory and applications - G. Gandolfo

Continuous-Time Econometrics

Theory and applications

By: G. Gandolfo (Editor)

Hardcover

Published: 31st December 1992
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Continuous-time econometrics is no longer an esoteric subject although most still regard it as such, so much so that it is hardly mentioned in standard textbooks on econometrics. Thanks to the work done in the last 20 years, both the theoretical and the applied side are by now well developed. Methods of estimation have been theoretically elaborated and practically implemented through computer programs. Continuous-time macroeconometric models for different countries have been constructed, estimated and used. Being myself involved in these developments, it was with great pleasure that I accepted the invitation to organize a session on continuous-time econometrics in the context of the International Symposium on Economic Modelling (jointly organized by the University of Urbino and the book series International Studies in Economic Modelling, and co-sponsored by the Consiglio Nazionale delle Ricerche). The reaction of 'continuists' from all over the world was so enthusiastic that I was able to arrange two sessions, one on the theory and the other on the applications. The symposium was held in Urbino on 23-25 July 1990. The papers presented in Urbino have been revised in the light of the discussion at the symposium and the referees' comments. Hence, what is published here should become another standard reference in the field of continuous-time econometrics.

Contributors
Introduction to the series
Preface
Continuous-time econometrics has come of agep. 1
The history of continuous-time econometric modelsp. 13
Continuous-time models in macroeconomics: specification and estimationp. 35
An approximation to the covariance matrix of a mixed-sample systemp. 81
Finite-sample properties of the Gaussian estimation of an open higher-order continuous-time dynamic model with mixed stock and flow datap. 93
Aggregation over time, space and individuals in economic modelling: A generating mechanism approachp. 117
Capital liberalization and exchange rate expectations: the Italian casep. 133
A continuous-time model of the United States economyp. 151
CONTIMOS - a continuous-time econometric model for Sweden based on monthly data based on monthly datap. 195
Flexible functional forms and generalized dynamic adjustment in the specification of the demand for moneyp. 229
Indexp. 260
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780412450204
ISBN-10: 0412450208
Series: International Studies in Economic Modelling
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 267
Published: 31st December 1992
Publisher: Chapman and Hall
Country of Publication: GB
Dimensions (cm): 23.5 x 15.5  x 1.7
Weight (kg): 1.3