The Structural Econometric Time Series Analysis Approach

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Arnold Zellner (University of Chicago) Franz C. Palm (Universiteit Maastricht, Netherlands)

The Structural Econometric Time Series Analysis Approach

Arnold Zellner (University of Chicago), Franz C. Palm (Universiteit Maastricht, Netherlands)

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English

Cambridge University Press
27 October 2004

Econometrics; Economic statistics; Economic forecasting

Bringing together a collection of previously published work, this book provides a timely discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the new Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.

Edited by: Arnold Zellner (University of Chicago), Franz C. Palm (Universiteit Maastricht, Netherlands)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 236mm, Width: 159mm, Spine: 50mm
Weight: 1.282kg
ISBN: 9780521814072
ISBN 10: 0521814073
Pages: 736
Publication Date: 27 October 2004
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

Arnold Zellner is H. G. B. Alexander Distinguished Service Professor Emeritus of Economics and Statistics, Graduate School of Business, University of Chicago and Adjunct Professor, University of California at Berkeley. He has published books and many articles on the theory and application of econometrics and statistics to a wide range of problems. Franz C. Palm is Professor of Econometrics, Faculty of Economics and Business Administration, Maastricht University. He has published many articles on the theory and application of econometrics and statistics to a wide range of problems.