Macroeconomic Modelling and Forecasting Using Non-Stationary Data

Name: Macroeconomic Modelling and Forecasting Using Non-Stationary Data
Brand: VDM Verlag Dr. Müller
SKU: 9783639153156
Price: 81.29 EUR
Availability: InStock

Coping with Different Types of Non-Stationarity to Produce Meaningful and Accurate Economic Results

Автор: J James Reade

Език:

Корици: С меки корици

Издател: VDM Verlag Dr. Müller

Наличност: Налично при издателя, по поръчка

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Important aspects of macroeconomic modelling and§forecasting in the presence of non-stationarity are...

Информация за книгата

Автор

J James Reade

Език

Английски език

Корици

Книга - С меки корици

Издадена

2009

страници

244

EAN

9783639153156

Enbook ID

06823828

Издател

VDM Verlag Dr. Müller

Теглоt

380

Размери

150 x 220 x 15

Пълно описание

Important aspects of macroeconomic modelling and§forecasting in the presence of non-stationarity are§examined in this book. Three forms of§non-stationarity are assessed: explosive,§structural-break, and unit root non-stationarity.§First, testing for unit-root non-stationarity in the§presence of explosive non-stationarity is considered.§Numerical difficulties are circumvented using§approximations before the finite-sample properties of§the unit-root test are assessed. Secondly the use of§model averaging given non-stationarity is§investigated. While model averaging can provide§competitive forecasts and parameter estimates,§selection is required, and often a single selected§model will perform best. Because averaging does not§avoid the need to select, methods of selection are§discussed. Third, regression models in the presence§of unit-root non-stationarity are estimated. Previous§empirical studies of monetary and fiscal policies§have made little reference to non-stationarity. A§cointegrated§vector-autoregressive model is used to combat this§and evidence for policy interactions is found.

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Macroeconomic Modelling and Forecasting Using Non-Stationary Data

Coping with Different Types of Non-Stationarity to Produce Meaningful and Accurate Economic Results

Информация за книгата

Пълно описание

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