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The Structural Econometric Time Series Analysis Approach
Hardback
Main Details
Title |
The Structural Econometric Time Series Analysis Approach
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Authors and Contributors |
Edited by Arnold Zellner
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Edited by Franz C. Palm
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Physical Properties |
Format:Hardback | Pages:736 | Dimensions(mm): Height 229,Width 152 |
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Category/Genre | Econometrics Economic forecasting |
ISBN/Barcode |
9780521814072
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Classifications | Dewey:330.01519232 |
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Audience | Professional & Vocational | |
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Publishing Details |
Publisher |
Cambridge University Press
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Imprint |
Cambridge University Press
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Publication Date |
21 October 2004 |
Publication Country |
United Kingdom
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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.
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