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

Albert Rex Bergstrom, Khalid Ben Nowman (Westminster Business School, UK)

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English

Cambridge University Press
16 April 2007

Economics; Econometrics; Economic statistics; Public finance; Applied mathematics

Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modelling. This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modelling. The book describes the model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady-state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behaviour. The model is estimated using newly developed exact Gaussian estimation methods for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.

By: Albert Rex Bergstrom, Khalid Ben Nowman (Westminster Business School, UK)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 216mm, Width: 140mm, Spine: 22mm
Weight: 550g
ISBN: 9780521875493
ISBN 10: 0521875498
Pages: 314
Publication Date: 16 April 2007
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

1. Introduction to continuous time modelling; 2. Continuous time econometrics with stochastic trends; 3. Model specification; 4. Steady state and stability analysis; 5. Empirical estimation of the model and derived results.

The late Albert Rex Bergstrom was Emeritus Professor of Economics, a former Dean of the School of Social Studies and Pro Vice Chancellor at the University of Essex and a Fellow of the Econometric Society. He was one of the world's leading authorities on continuous time econometric modelling. Professor Bergstrom was formerly Professor of Econometrics at the University of Auckland, and Reader at the London School of Economics. His professional papers appeared in leading journals such as Econometrica and Econometric Theory. Professor Bergstrom's earlier books include The Construction and Use of Economic Models (1967), Continuous Time Econometric Modelling (1990), Statistical Inference in Continuous Time Economic Models (editor, 1976), and Stability and Inflation: Essays in Memory of A. W. Phillips (edited with A. J. L. Catt, M. H. Peston, and B. D. J. Silverstone, 1978). Khalid Ben Nowman is Professor of Finance at the Westminster Business School, University of Westminster, in London. He previously worked at City University Business School, London Business School, University of Essex, Durham University, and University of Kent and in the banking sector at the Bank of England, First National Bank of Chicago, and Barclays Bank. Professor Nowman's papers have appeared in leading journals such as Econometric Theory, Journal of Finance, Journal of Financial and Quantitative Analysis, and the Journal of Economic Dynamics and Control.

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

'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 '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 '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