The Structural Econometric Time Series Analysis Approach
AbstractBringing together a collection of previously published work, this 2004 book provides a 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 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.
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Bibliographic InfoThis book is provided by Cambridge University Press in its series Cambridge Books with number 9780521814072 and published in 2004.
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- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009.
"Studying co-movements in large multivariate data prior to multivariate modelling,"
Open Access publications from Maastricht University
urn:nbn:nl:ui:27-22876, Maastricht University.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009. "Studying co-movements in large multivariate data prior to multivariate modelling," Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
- Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Jacques Kibambe & Arnold Zellner, 2010.
"The Use Of A Marshallian Macroeconomic Model For Policy Evaluation: Case Of South Africa,"
201013, University of Pretoria, Department of Economics.
- Ngoie, Jacques Kibambe & Zellner, Arnold, 2012. "The Use Of A Marshallian Macroeconomic Model For Policy Evaluation: Case Of South Africa," Macroeconomic Dynamics, Cambridge University Press, vol. 16(03), pages 423-448, June.
- Jacques Kibambe Ngoie & Arnold Zellner, 2010. "The Use of a Marshallian Macroeconomic Model for Policy Evaluation: Case of South Africa," Working Papers 179, Economic Research Southern Africa.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2007.
"Macro-panels and Reality,"
009, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008. "Macro-panels and reality," Open Access publications from Maastricht University urn:nbn:nl:ui:27-22860, Maastricht University.
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