Información General

• Autores: Arnold Zellner (ed. lit.), Franz C. Palm (ed. lit.)
• Editores: New York : Cambridge University, 2004
• Año de publicación: 2004
• País: Estados Unidos
• Idioma: inglés
• ISBN: 0-521-81407-3
• Texto completo no disponible (Saber más ...)

Resumen

• 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.

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• Red de Bibliotecas Universitarias (REBIUN)

Listado de artículos

• • Part I. The SEMTSA Approach

    • Time series analysis and simultaneous equation econometric models

      Arnold Zellner, Franz C. Palm

      págs. 3-43

      

    • Statistical analysis of econometric models

      Arnold Zellner

      págs. 44-78

      

    • Comment

      David A. Belsley Cabanas

      págs. 79-81

      

    • Comment

      Carl F. Christ

      págs. 82-83

      

    • Comment

      Peter M. Robinson

      págs. 84-86

      

    • Comment

      Thomas J. Rothenberg

      págs. 87-90

      

    • Rejoinder

      Arnold Zellner

      págs. 91-95

      

    • Structural econometric modeling and time series analysis: an integrated approach

      Franz C. Palm

      págs. 96-165

      

    • Comment

      Carl F. Christ

      págs. 165-169

      

    • Comment

      Christopher A. Sims

      págs. 169-171

      

    • Response to the discussants

      Franz C. Palm

      págs. 172-174

      

    • Time series analysis, forecasting, and econometric modeling: the structural econometric modeling, time series analysis (SEMTSA) approach

      Arnold Zellner

      págs. 175-200

      

    • Large-sample estimation and testing procedures for dynamic equation systems

      Franz C. Palm, Arnold Zellner

      págs. 201-232

      

    • Rejoinder

      Franz C. Palm, Arnold Zellner

      págs. 233-240

      

  • Part II. Selected applications

    • Time series and structural analysis of monetary models of the US economy

      Arnold Zellner, Franz C. Palm

      págs. 243-287

      

    • Time series versus structural models: a case study of Canadian manufacturing inventory behavior

      Pravin K. Trivedi

      págs. 288-314

      

    • Time series analysis of the German hyperinflation

      Paul Evans

      págs. 315-331

      

    • A time series analysis of seasonality in econometric models

      Charles I. Plosser

      págs. 332-382

      

    • Comment

      Gregory C. Chow

      págs. 382-388

      

    • Comment and implications for policy-makers and model builders

      Raymond Lombra

      págs. 388-394

      

    • Response to discussants

      Charles I. Plosser

      págs. 394-396

      

    • The behavior of speculative prices and the consistency of economic models

      Robert I. Webb

      págs. 397-404

      

    • A comparison of the stochastic processes of structural and time series exchange rate models

      Francis W. Ahking, Stephen M. Miller

      págs. 405-417

      

    • Encompassing univariate models in multivariate time series: a case study

      Agustín Maravall, Alexandre Mathis

      págs. 418-454

      

  • Part III. Macroeconomic forecasting and modeling

    • Macroeconomic forecasting using pooled international data

      Antonio García Ferrer, Richard A. Highfield, Franz C. Palm, Arnold Zellner

      págs. 457-484

      

    • Forecasting international growth rates using Bayesian shrinkage and other procedures

      Arnold Zellner, Chansik Hong

      págs. 485-505

      

    • Turning points in economic time series, loss structures, and Bayesian forecasting

      Arnold Zellner, Chansik Hong, Gaurang M. Gulati

      págs. 506-527

      

    • Forecasting turning points in international output growth rates using Bayesian exponentially weighted autoregression, time-varying parameter, and pooling techniques

      Arnold Zellner, Chansik Hong, Chung-Ki Min

      págs. 528-558

      

    • Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates

      Chung-Ki Min, Arnold Zellner

      págs. 559-589

      

    • Pooling in dynamic panel data models: an application to forecasting GDP growth rates

      André J. Hoogstrate, Franz C. Palm, Gerard A. Pfann

      págs. 590-611

      

    • Forecasting turning points in countries' output growth rates: a response to Milton Friedman

      Arnold Zellner, Chung-Ki Min

      págs. 612-616

      

  • Part IV. Disaggregation, forecasting, and modeling

    • Using Bayesian techniques for data pooling in regional payroll forecasting

      James P. Lesage, Michael Magura

      págs. 619-636

      

    • Forecasting turning points in metropolitan employment growth rates using Bayesian techniques

      James P. Lesage

      págs. 637-655

      

    • A note on aggregation, disaggregation, and forecasting performance

      Arnold Zellner, Justin Tobias

      págs. 656-666

      

    • The Marshallian macroeconomic model

      Arnold Zellner

      págs. 667-676

      

    • Bayesian modeling of economies and data requirements

      Arnold Zellner

      págs. 677-706