Download PDF by Giancarlo Gandolfo (auth.), Giancarlo Gandolfo (eds.): Continuous-Time Econometrics: Theory and applications

By Giancarlo Gandolfo (auth.), Giancarlo Gandolfo (eds.)

ISBN-10: 9401046735

ISBN-13: 9789401046732

ISBN-10: 9401115427

ISBN-13: 9789401115421

Continuous-time econometrics is not any longer an esoteric topic even if so much nonetheless regard it as such, lots in order that it truly is rarely pointed out in average textbooks on econometrics. due to the paintings performed within the final two decades, either the theoretical and the utilized aspect are by way of now good constructed. tools of estimation were theoretically elaborated and virtually carried out via desktop courses. Continuous-time macroeconometric versions for various nations were built, anticipated and used. Being myself excited about those advancements, it was once with nice excitement that I authorized the invitation to prepare a consultation on continuous-time econometrics within the context of the overseas Symposium on financial Modelling (jointly geared up by means of the college of Urbino and the booklet sequence overseas stories in fiscal Modelling, and co-sponsored by means of the Consiglio Nazionale delle Ricerche). The response of 'continuists' from world wide used to be so enthusiastic that i used to be in a position to organize periods, one at the thought and the opposite at the purposes. The symposium was once held in Urbino on 23-25 July 1990. The papers provided in Urbino were revised within the gentle of the dialogue on the symposium and the referees' reviews. as a result, what's released the following may still turn into one other usual reference within the box of continuous-time econometrics.

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Sample text

It may be assumed, for example, that the private sector is willing to allow its money balances to change in such a way that its other demands are satisfied subject to some form of adjustment process, but this does not preclude the private sector from being concerned about its money balances. These are brought into dynamic equilibrium not by changing money balances directly but indirectly through the effect of excess money balances on the balance of payments, interest rates and prices. Similarly, in some models the difference between the desired and the actual inventories is a determinant of prices, domestic output and imports.

Harvard University Press, Cambridge, Mass. Ito, K. (1946) On a Stochastic Integral Equation. Proceedings of the Japanese Academy, 1, 32-35. Ito, K. (1951) On Stochastic Differential Equations. Memoir of the American Mathematical Society, 4, 51. jones, R. H. (1981) Fitting a Continuous Time Autoregression to Discrete Data, in Applied Time Series Analysis (ed. D. F. Findley), Academic Press, New York. jonson, P. D. and Trevor, R. G. (1981) Monetary Rules: A Preliminary Analysis. Economic Record, 57, 150-67.

Recent developments 27 Whereas the work on these problems during the 1960s and early 1970s was concerned with methods based on approximate discrete models, the recent work has been concerned with methods that take account of the exact restrictions on the distribution of the discrete data implied by the continuous-time model, and yield exact maximum likelihood estimates under appropriate assumptions. The development of such methods for higher-order systems with mixed stock and flow data is mathematically very difficult, and the application of the methods requires much greater computing power than methods based on approximate discrete models.

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Continuous-Time Econometrics: Theory and applications by Giancarlo Gandolfo (auth.), Giancarlo Gandolfo (eds.)

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