Modelling & Controlling Monetary and Economic Identities with Constrained State Space Models
The paper presents a method for modelling and controlling time series with identity structures. The approach is presented in the context of monetary targeting where the monetary identity (e.g. reserve money equals net foreign assets plus domestic credit) is modelled using a constrained state space model and next-period changes in domestic credit (policy variable) are estimated to reach the target level of reserve money. The constrained modelling ensures that aggregation and identity relations among items are dynamically satisfied during estimation, leading to more accurate forecasting and targeting. Copyright 2007 The Author. Journal compilation (c) 2007 International Statistical Institute.
Year of publication: |
2007
|
---|---|
Authors: | Pandher, Gurupdesh S. |
Published in: |
International Statistical Review. - International Statistical Institute (ISI), ISSN 0306-7734. - Vol. 75.2007, 2, p. 150-169
|
Publisher: |
International Statistical Institute (ISI) |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Modelling & controlling monetary and economic identities with constrained state space models
Pandher, Gurupdesh S., (2007)
-
Regression-based modeling of market option prices : with application to S&P500 options
Pandher, Gurupdesh S., (2007)
-
Finance journal rankings and tiers : an active scholar assessment methodology
Currie, Russell R., (2011)
- More ...