A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends

Review of the hardback: 'Discrete time models imply that all transactions occur at boundaries of discrete time intervals, with all markets closed within the interiors of those intervals. Since the sequence of boundary points is measure zero on the time line, discrete time macroeconometric models imply that the economy exists 'almost nowhere' in Lebesgue measure. This formidable book by Bergstrom and Nowman leads the way for macroeconometric modeling, as it should be done.' William A. Barnett, University of Kansas and Editor, Macroeconomic Dynamics Review of the hardback: 'This superb monograph sets a new benchmark for continuous time macroeconometric modeling. The model represents the conclusion of the late Rex Bergstrom's pioneering work in this field and synthesizes economic theory with mathematics and statistics in the way that characterizes his approach to macroeconomic modeling. An essential read for all macroeconometric modelers and continuous time econometricians.' Marcus Chambers, University of Essex Review of the hardback: 'This volume contains an exceptionally detailed account of a continuous-time model of the UK economy, describing both econometric theory and empirical application. The presentation is clear and rigorous, and the volume should be of interest to macroeconometric model-builders worldwide. It is a fitting epitaph to Rex Bergstrom's pioneering and extensive contributions to continuous-time modeling in econometrics.' Peter M. Robinson, London School of Economics