Artikelnummer | 9783639153156 |
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Produkttyp | Buch |
Preis | 109,00 CHF |
Verfügbarkeit | Lieferbar |
Einband | Kartonierter Einband (Kt) |
Meldetext | Folgt in ca. 5 Arbeitstagen |
Autor | Reade, J James |
Verlag | VDM Verlag Dr. Müller e.K. |
Weight | 0,0 |
Erscheinungsjahr | 2013 |
Seitenangabe | 244 |
Sprache | ger |
Anzahl der Bewertungen | 0 |
Macroeconomic Modelling and Forecasting UsingNon-Stationary Data Buchkatalog
Important aspects of macroeconomic modelling andforecasting in the presence of non-stationarity areexamined in this book. Three forms ofnon-stationarity are assessed: explosive, structural-break, and unit root non-stationarity.First, testing for unit-root non-stationarity in thepresence of explosive non-stationarity is considered.Numerical difficulties are circumvented usingapproximations before the finite-sample properties ofthe unit-root test are assessed. Secondly the use ofmodel averaging given non-stationarity isinvestigated. While model averaging can providecompetitive forecasts and parameter estimates, selection is required, and often a single selectedmodel will perform best. Because averaging does notavoid the need to select, methods of selection arediscussed. Third, regression models in the presenceof unit-root non-stationarity are estimated. Previousempirical studies of monetary and fiscal policieshave made little reference to non-stationarity. Acointegratedvector-autoregressive model is used to combat thisand evidence for policy interactions is found.
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