Continuous-Time Econometrics: Theory and Applications

ISBN-13: 9789401046732 / Angielski / Miękka / 2012 / 267 str.

G. Gandolfo

Opis

Continuous-time econometrics is no longer an esoteric subject although most still regard it as such, so much so that it is hardly mentioned in standard textbooks on econometrics. Thanks to the work done in the last 20 years, both the theoretical and the applied side are by now well developed. Methods of estimation have been theoretically elaborated and practically implemented through computer programs. Continuous-time macroeconometric models for different countries have been constructed, estimated and used. Being myself involved in these developments, it was with great pleasure that I accepted the invitation to organize a session on continuous-time econometrics in the context of the International Symposium on Economic Modelling (jointly organized by the University of Urbino and the book series International Studies in Economic Modelling, and co-sponsored by the Consiglio Nazionale delle Ricerche). The reaction of 'continuists' from all over the world was so enthusiastic that I was able to arrange two sessions, one on the theory and the other on the applications. The symposium was held in Urbino on 23-25 July 1990. The papers presented in Urbino have been revised in the light of the discussion at the symposium and the referees' comments. Hence, what is published here should become another standard reference in the field of continuous-time econometrics.

Spis treści

Continuous-time econometrics has come of age. The history of continuous-time econometric models. Continuous-time models in macroeconomics: specification and estimation. An approximation to the covariance matrix of a mixed-sample system. Finite-sample properties of the Gaussian estimation of an open higher-order continuous-time dynamic model with mixed stock and flow data. Aggregation over time, space and individuals in economic modelling: a generating mechanism approach. Capital liberalization and exchange rate expectations: the Italian case. A continuous-time model of the United States economy. CONTIMOS - a continuous time econometric model for Sweden based on monthly data. Flexible functional forms and generalized dynamic adjustment in the specification of the demand for money.

O autorze

Since 1974 professor Giancarlo Gandolfo is full professor of International Economics, Faculty of Economics, Sapienza University of Rome. Since 2005 he is member of the scientific committee of University of Rome La Sapienza Press. His main areas of research are International monetary economics, continuous time econometrics, mathematical methods and models of economic dynamics. He is recipient of several research grants by national and international institutions.