DYNAMIC ECONOMETRICS FOR EMPIRICAL MACROECONOMIC MODELLING

Ragnar Nymoen

ISBN 10: 9811207518 / ISBN 13: 9789811207518

Published by World Scientific Publishing Company, 2019

About this Item

Seller Inventory # I-9789811207518

Bibliographic Details

• Title: DYNAMIC ECONOMETRICS FOR EMPIRICAL MACROECONOMIC MODELLING
• Publisher: World Scientific Publishing Company
• Publication Date: 2019
• Language: English
• ISBN 10: 9811207518
• ISBN 13: 9789811207518
• Binding: Hardcover
• Condition: New

About this title

Synopsis

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.

Readership: Masters and PhD level students and researchers in econometrics of time series data. Economists in private consultancy, government agencies and central banks who model time series for analysis and forecasting.

About the Author

Ragnar Nymoen is a Professor in the Department of Economics at the University of Oslo. He has worked as an economist in the Research Department at Norges Bank, and has published papers in macroeconomics and econometrics. Nymoen teaches econometrics at the bachelor, master and PhD levels.