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New Directions in Macromodelling de Aleksander Welfe

New Directions in Macromodelling

Autor Aleksander Welfe
en Limba Engleză Hardback – 23 dec 2004
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.
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Specificații

ISBN-13: 9780444516336
ISBN-10: 0444516336
Pagini: 252
Dimensiuni: 155 x 234 x 406 mm
Greutate: 0.53 kg
Ediția:New.
Editura: Emerald Publishing

Public țintă

Economists

Cuprins

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).