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The Structural Econometric Time Series Analysis Approach

Hardback

Main Details

Title The Structural Econometric Time Series Analysis Approach
Authors and Contributors      Edited by Arnold Zellner
Edited by Franz C. Palm
Physical Properties
Format:Hardback
Pages:736
Dimensions(mm): Height 229,Width 152
Category/GenreEconometrics
Economic forecasting
ISBN/Barcode 9780521814072
ClassificationsDewey:330.01519232
Audience
Professional & Vocational

Publishing Details

Publisher Cambridge University Press
Imprint Cambridge University Press
Publication Date 21 October 2004
Publication Country United Kingdom

Description

Bringing together a collection of previously published work, this book provides a timely 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 new 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.

Author Biography

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.