Statistics, Econometrics and ForecastingCambridge University Press, 19 лют. 2004 р. - 163 стор. Based on two lectures presented as part of The Stone Lectures in Economics series, Arnold Zellner describes the structural econometric time series analysis (SEMTSA) approach to statistical and econometric modeling. Developed by Zellner and Franz Palm, the SEMTSA approach produces an understanding of the relationship of univariate and multivariate time series forecasting models and dynamic, time series structural econometric models. As scientists and decision-makers in industry and government world-wide adopt the Bayesian approach to scientific inference, decision-making and forecasting, Zellner offers an in-depth analysis and appreciation of this important paradigm shift. Finally Zellner discusses the alternative approaches to model building and looks at how the use and development of the SEMTSA approach has led to the production of a Marshallian Macroeconomic Model that will prove valuable to many. Written by one of the foremost practitioners of econometrics, this book will have wide academic and professional appeal. |
Зміст
Bank of England | 1 |
National Institute of Economic and Social Research | 79 |
On the questionable virtue of aggregation | 125 |
Notes | 130 |
Загальні терміни та фрази
aggregate annual ARLI model ARLI/WI model associated autoregressive Bank of England Bayes Bayesian analysis Bayesian and non-Bayesian Bayesian approach Bayesian estimates Bayesian methods Bayesian statistics BMOM Box plot Box-Jenkins coefficient computed derived downturn economic eighteen countries empirical employed error term example expected loss finite sample forecasting experiments forecasting performance formulated improved forecasts industry inference input issues Jeffreys lag operator lagged least squares likelihood function loss function loss structure macroeconomic model maximum likelihood median minimize nuisance parameters obtain output growth rates paper percent percentage points pooling portfolio posterior density posterior odds predictive density prior density prior information probability problems procedures produce Quintana random walk rate of growth real business cycle real GDP real money real sales real stock prices regression Richard Stone RMSE SEMTSA approach shrinkage structural econometric models techniques theorem theory time-varying parameter tion transfer functions turning point forecasting TVP/ARLI/WI Y₁ Zellner
Посилання на книгу
Riesgos financieros y económicos : productos derivados y decisiones ... Francisco Venegas Martínez Попередній перегляд недоступний - 2006 |