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Topics in Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems / by Mario Faliva, Maria Grazia Zoia
(Lecture Notes in Economics and Mathematical Systems. ISSN:21969957 ; 558)

Publisher	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
Year	2006
Edition	1st ed. 2006.
Authors	*Faliva, Mario author Zoia, Maria Grazia author SpringerLink (Online service)

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Links to the text	Location	Volume	Call No.	Barcode No.	Status	Comments	ISBN	Printed	Restriction	Reserve
Links to the text	Library Off-campus access			OB00164963		Springer Business and Economics eBooks (電子ブック)	9783540292395

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Material Type	E-Book
Media type	機械可読データファイル
Size	X, 144 p : online resource
Notes	The Algebraic Framework of Unit-Root Econometrics -- The Statistical Setting -- Econometric Dynamic Models: from Classical Econometrics to Time Series Econometrics Classical econometrics - which plunges its roots in economic theory with simultaneous equations models (SEM) as offshoots - and time series econometrics - which stems from economic data with vector autoregr- sive (VAR) models as offsprings - scour, like the Janus's facing heads, the flowing of economic variables so as to bring to the fore their autonomous and non-autonomous dynamics. It is up to the so-called final form of a dy namic SEM, on the one hand, and to the so-called representation theorems of (unit-root) VAR models, on the other, to provide informative closed form expressions for the trajectories, or time paths, of the economic vari ables of interest. Should we look at the issues just put forward from a mathematical standpoint, the emblematic models of both classical and time series econometrics would turn out to be difference equation systems with ad hoc characteristics, whose solutions are attained via a final form or a represen tation theorem approach. The final form solution - algebraic technicalities apart - arises in the wake of classical difference equation theory, display ing besides a transitory autonomous component, an exogenous one along with a stochastic nuisance term. This follows from a properly defined ma trix function inversion admitting a Taylor expansion in the lag operator be cause of the assumptions regarding the roots of a determinant equation pe culiar to SEM specifications HTTP:URL=https://doi.org/10.1007/3-540-29239-X
Subjects	LCSH:Economics LCSH:Econometrics LCSH:Statistics LCSH:Game theory FREE:Economics FREE:Econometrics FREE:Statistical Theory and Methods FREE:Statistics in Business, Management, Economics, Finance, Insurance FREE:Quantitative Economics FREE:Game Theory
Classification	LCC:HB1-846.8 DC23:330
ID	8000058526
ISBN	9783540292395