Dynamic model analysis: advanced matrix methods and unit-root econometrics representation theorems

This monograph provides an insightful analysis of dynamic modelling in econometrics by bridging the structural with the time series approaches, and by focusing on representation theorems of integrated processes. The book provides mainly a self-contained, rigorous as well as innovative, analytic setting to guide formulation and solution in closed form of vector autoregressive (VAR) models with unit roots. The second edition implements the latest research work by the second author on linear matrix polynomials whence a further breakthought onthe topic is gained. Its emphasis is placed on representation theorems, conjugating an elegant reappraisal of classical results with original insights which widen their information content. A unified representation theorem of new conception is established, which duly shapes the contours of the cointegration features of VAR solutions, providing not only a contribution to clarity but alsonew stimuli in this fascinating field of research as a spin-off. Innovative algebraic toolkit for dynamic econometric model analysis Self-contained design providing basic and advanced algebraic technicalities Step by step guidance toa thorough understanding Includes the latest research by the authors INDICE: The Algebraic Framework of Unit-Root Econometrics.- The Statistical Setting.- Econometric Dynamic Models: From Classical Econometrics to Time Series Econometrics.

• ISBN: 978-3-540-85995-6
• Editorial: Springer
• Encuadernacion: Cartoné
• Páginas: 220
• Fecha Publicación: 01/10/2008
• Nº Volúmenes: 1
• Idioma: Inglés