Stochastic Dynamic Properties of Linear Econometric Models

ISBN-13: 9783540102403 / Angielski / Miękka / 1980 / 156 str.

J. Wolters

Opis

Springer Book Archives

Spis treści

I: The Linear Dynamic Econometric Model.- 1. Introduction.- 2. Structural, Reduced and Final Form.- 3. Solutions of the Model.- 3.1 Solutions with Fixed Initial Conditions.- 3.2 Solutions with Stochastic Initial Conditions.- II: Spectral Representation of the Linear Dynamic Model with Constant Coefficients.- 1. Derivation of the Spectral Matrix.- 2. Numerical Approaches.- 2.1 Simulations.- 2.2 Analytical Solutions.- 2.3 Analytical Simulations.- 2.4 Comparison of the Methods.- 3. An Example: Effects of Residuals.- 3.1 Transient Response.- 3.2 Alternative Error Processes.- 3.3 Alternative Exogenous Variables.- 4. Spectral Matrix in Unstable Models.- 4.1 Evolutionary Spectrum.- 4.2 The Chow and Levitan Approach.- 4.3 Application.- III: Spectral Representation of a Linear Dynamic Econometric Model with Stochastic Coefficients.- 1. Methodological Approach.- 2. Effects of Alternative Estimation Methods on the Dynamic Properties of an Aggregated Demand Model of the FRG.- 2.1 Specification and Estimation of the Model.- 2.2 Stability of the Model.- 2.3 Power Spectra of the Endogenous Variables.- 2.4 Cross Spectra of the Endogenous Variables.- 3. Empirical Spectral Analysis.- IV: Effects of Exogenous Variables on the Cyclic Properties of an Econometric Model.- 1. Introduction.- 2. Dynamic Properties of an Aggregated Model of the FRG.- 2.1 Specification and Estimation of the Model.- 2.2 Deterministic Dynamic Properties.- 2.3 Specification of the Exogenous Variables.- 2.4. Cyclic Properties with Respect to the Exogenous Variables.- 3. Stabilization Policies.- 3.1 Spectral Cost Function.- 3.2 Relative Efficiency of Monetary and Fiscal Policy.- V: Summary.- Appendix A.- Appendix B.- References.