SKU: 10338702496

Dynamic Econometrics for Empirical Macroeconomic Modelling

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Dynamic Econometrics for Empirical Macroeconomic ModellingFor Masters and PhD students in Economics A concise presentation on the mathematics of difference equations and how it is used in dynamic econometric modelling Methods for non stationary and co integrated variables Structured chapters on automatic methods for variable selection and forecasting with empirical macroeconometric models Complete with end of chapter exercises and solutions In this textbook, the duality between the equilibrium concept used

For Masters and PhD students in Economics

  • A concise presentation on the mathematics of difference equations and how it is used in dynamic econometric modelling
  • Methods for non-stationary and co-integrated variables
  • Structured chapters on automatic methods for variable selection and forecasting with empirical macroeconometric models
  • Complete with end-of-chapter exercises and solutions

 

In this textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models.

 

The book also contains chapters on: exogeneity, in the context of estimation, policy analysis and forecasting; automatic (computer based) variable selection, and how it can aid in the specification of an empirical macroeconomic model; and finally, on a common framework for model-based economic forecasting.

 

Supplementary materials and notes are available on the publisher's website.

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SKU: 10338702496

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