Topics in Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems /
By: Faliva, Mario [author.].
Contributor(s): Spr [author.2 ] | Spr.
Material type:
BookSeries: : 55840Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.Description: X, 144 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783540292395.Subject(s): Sta | Eco | Man | Eco | Eco | Eco | Eco | Eco | Sta | Sta | Eco | Gam | ZoiDDC classification: 330 Online resources: Click here to access online | Item type | Current location | Call number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|---|
| PK Kelkar Library, IIT Kanpur | Available | EBKS0005664 |
The Algebraic Framework of Unit-Root Econometrics -- The Statistical Setting -- Econometric Dynamic Models: from Classical Econometrics to Time Series Econometrics.
Classical econometrics - which plunges its roots in economic theory with simultaneous equations models (SEM) as offshoots - and time series econometrics - which stems from economic data with vector autoregr- sive (VAR) models as offsprings - scour, like the Janus's facing heads, the flowing of economic variables so as to bring to the fore their autonomous and non-autonomous dynamics. It is up to the so-called final form of a dy� namic SEM, on the one hand, and to the so-called representation theorems of (unit-root) VAR models, on the other, to provide informative closed form expressions for the trajectories, or time paths, of the economic vari� ables of interest. Should we look at the issues just put forward from a mathematical standpoint, the emblematic models of both classical and time series econometrics would turn out to be difference equation systems with ad hoc characteristics, whose solutions are attained via a final form or a represen� tation theorem approach. The final form solution - algebraic technicalities apart - arises in the wake of classical difference equation theory, display� ing besides a transitory autonomous component, an exogenous one along with a stochastic nuisance term. This follows from a properly defined ma� trix function inversion admitting a Taylor expansion in the lag operator be� cause of the assumptions regarding the roots of a determinant equation pe� culiar to SEM specifications. 0 Gam
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