ENGLISH

Topics in Dynamic Model Analysis: Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems

By Prof. Mario Faliva , Prof. Maria Grazia Zoia (auth.)

Book information

Publisher
Springer Berlin Heidelberg
Year
2006
ISBN
9783540261964, 3540261966
Language
english
Format
DJVU
Filesize
3 MB (3094256 bytes)
Series
Lecture Notes in Economics and Mathematical Systems 558
Edition
1
Pages
152\152
Time added
2010-04-25 21:59:20
Econometrics; Statistical Theory and Methods; StatEconomicsSocial and Behav. Sciences

Description

This monograph provides an insightful analysis of dynamic modelling in econometrics by bridging the unit-root gap between structural and time series approaches and focusing on representation theorems of (co)integrated processes. The book starts by providing a self-contained – rigorous as well as innovative – analytical setting to guide the formulation and solution in closed form of vector autoregressive models with unit roots. The monograph then moves on to place emphasis on the so-called representation theorems of unit-root econometrics, conjugating an elegant reappraisal of classical results with original enlightening insights which widen and enrich the information content and meaning of the said theorems, therefore providing new stimuli in this fascinating field of research. The Algebraic Framework of Unit-Root Econometrics....Pages 1-51 The Statistical Setting....Pages 53-78 Econometric Dynamic Models: from Classical Econometrics to Time Series Econometrics....Pages 79-131

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