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Faliva M., Zoia M.G. — Dynamic model analysis. Advanced matrix methods and unit-root econometrics representation theorems
Faliva M., Zoia M.G. — Dynamic model analysis. Advanced matrix methods and unit-root econometrics representation theorems

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Название: Dynamic model analysis. Advanced matrix methods and unit-root econometrics representation theorems

Авторы: Faliva M., Zoia M.G.

Аннотация:

This second edition sees the light three years after the first one: too short a
time to feel seriously concerned to redesign the entire book, but sufficient
to be challenged by the prospect of sharpening our investigation on the
working of econometric dynamic models and to be inclined to change the
title of the new edition by dropping the “Topics in” of the former edition.
After considerable soul searching we agreed to include several results
related to topics already covered, as well as additional sections devoted to
new and sophisticated techniques, which hinge mostly on the latest research
work on linear matrix polynomials by the second author. This explains the
growth of chapter one and the deeper insight into representation theorems
in the last chapter of the book.
The rôle of the second chapter is that of providing a bridge between the
mathematical techniques in the backstage and the econometric profiles in
the forefront of dynamic modelling. For this purpose, we decided to add a
new section where the reader can find the stochastic rationale of vector
autoregressive specifications in econometrics.
The third (and last) chapter improves on that of the first edition by reaping
the fruits of the thorough analytic equipment previously drawn up.
As a result, the reappraisal of the representation theorem for second-order
integrated processes sheds full light on the cointegration structure of the
VAR model solution. Finally, a unified representation theorem of new conception
is established: it provides a general frame of analysis for VAR
models in the presence of unit roots and duly shapes the contours of the integration-
cointegration features of the engendered processes, with first and
second-order processes arising as special cases.


Язык: en

Рубрика: Экономика и финансы/

Статус предметного указателя: Неизвестно

ed2k: ed2k stats

Издание: 2nd edition

Год издания: 2009

Количество страниц: 218

Добавлена в каталог: 04.02.2011

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