Topics in Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems

by Mario Faliva, Maria Grazia Zoia

Provides an analysis of dynamic modelling in econometrics by bridging the unit-root gap between structural and time series approaches and focusing on representation theorems of (co)integrated processes.The book also presents an analytical setting to guide the formulation and solution in closed form of vector autoregressive models with unit roots

MoreLess

Year of publication:	2006
Other Persons:	Faliva, Mario (contributor) ; Zoia, Maria Grazia (contributor)
Publisher:	Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg
Subject:	Ökonometrie \| Econometrics \| Dynamische Wirtschaftstheorie \| Economic dynamics \| Einheitswurzeltest \| Unit root test \| Stochastischer Prozess \| Stochastic process \| VAR-Modell \| VAR model \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Lineare Algebra \| Linear algebra \| Dynamische Makroökonomie \| Kointegration \| Vektor-autoregressives Modell \| Fehlerkorrekturmodell \| Matrixverfahren
Description of contents:	Table of Contents [gbv.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org]

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Online-Ressource (X, 144 p, digital)
Series:	SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Literaturverz. S. 133 - 135 Preface; CONTENTS; 1 The Algebraic Framework of Unit-Root Econometrics; 1.1 Generalized Inverses and Orthogonal Complements; 1.2 Partitioned Inversion: Classical and Newly Found Results; 1.3 Matrix Polynomials: Preliminaries; 1.4 Matrix Polynomial Inversion by Laurent Expansion; 1.5 Matrix Polynomials and Difference Equation Systems; 1.6 Matrix Coefficient Rank Properties vs. Pole Order in Matrix Polynomial Inversion; 1.7 Closed-Forms of Laurent Expansion Coefficient Matrices; 2 The Statistical Setting; 2.1 Stochastic Processes: Preliminaries; 2.2 Principal Multivariate Stationary Processes 2.3 The Source of Integration and the Seeds of Cointegration2.4 A Glance at Integrated and Cointegrated Processes; Appendix. Integrated Processes, Stochastic Trends and Role of Cointegration; 3 Econometric Dynamic Models: from Classical to Time Series Econometrics; 3.1 Macroeconometric Structural Models Versus VAR Models; 3.2 Basic VAR Specifications and Engendered Processes; 3.3 A Sequential Rank Criterion for the Integration Order of a VAR Solution; 3.4 Representation Theorems for Processes /(I); 3.5 Representation Theorems for Processes / (2); 3.6 A Unified Representation Theorem Appendix. Empty MatricesReferences; Notational Conventions, Symbols and Acronyms; List of Definitions; List of Theorems, Corollaries and Propositions
ISBN:	978-3-540-29239-5 ; 978-3-540-26196-4
Other identifiers:	10.1007/3-540-29239-X [DOI]
Classification:	Wahrscheinlichkeitsrechnung ; Methoden und Techniken der Betriebswirtschaft
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013520512