New Directions in Macromodelling

Inbunden, Engelska, 2004

Del 269 i serien Contributions to Economic Analysis

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Beskrivning

The monograph concentrates on recent developments in modelling economic processes on macro level. Namely there are two main areas of interest: co-integration analysis and the use of high frequency time series. Special emphasis is put on testing, application of VEqCM models to I(1) as well as I(2) variables and structuralization of VAR. Volatility is analysed within traditional and Bayesian approach.

Produktinformation

Utgivningsdatum:2004-12-24
Mått:156 x 234 x 16 mm
Vikt:532 g
Format:Inbunden
Språk:Engelska
Serie:Contributions to Economic Analysis
Antal sidor:252
Förlag:Emerald Publishing Limited
ISBN:9780444516336

Utforska kategorier

Makroekonomi inom Ekonomi och Ledarskap

Innehållsförteckning

Preliminary. 1. Introduction. 2. Modelling volatility and its implications for economic integration (S. Hall, B. Becker, S. Gottschalk). 3. Inflation, money growth and the I(2) analysis (K. Juselius). 4. Recent developments in cointegration analysis (H. Luetkepohl). 5. Econometrics and economic policy analysis (G. Mizon). 6. Asymptotic and finite sample properties of the Dickey-Fuller test (S. Johansen). 7. Bayesian comparison of bivariate GARCH processes within the conditional ECM framework (J. Osiewalski, M. Pipien). 8. Financial processes in the transition economy: an application of SVEqCM (A. Welfe). 9. Optimal lag structure selection in VAR and VEC models (P. Winker, D. Maringer).