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The structural econometric time series analysis approach

Author: Arnold Zellner; Franz C Palm
Publisher: New York : Cambridge University Press, 2004.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"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  Read more...
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Arnold Zellner; Franz C Palm
ISBN: 0521814073 9780521814072
OCLC Number: 52377693
Description: xv, 718 pages : illustrations ; 24 cm
Contents: 1. Time series analysis and simultaneous equation econometric models (1974) / Arnold Zellner and Franz C. Palm --
2. Statistical analysis of econometric models (1979) / Arnold Zellner --
Comment (1979) / David A. Belsley and Edwin Kuh --
Comment (1979) / Carl F. Christ --
Comment (1979) / Peter M. Robinson --
Comment (1979) / Thomas J. Rothenberg --
Rejoinder (1979) / Arnold Zellner --
3. Structural econometric modeling and time series analysis : an integrated approach (1983) / Franz C. Palm --
Comment (1983) / Carl F. Christ --
Comment (1983) / Christopher A. Sims --
Response to the discussions (1983) / Franz C. Palm --
4. Time series analysis, forecasting, and econometric modeling : the structural econometric modeling, time series analysis (SEMTSA) approach (1994) / Arnold Zellner --
5. Large-sample estimation and testing procedures for dynamic equation systems (1980) / Franz C. Palm and Arnold Zellner --
Rejoinder (1981) / Franz C. Palm and Arnold Zellner --
6. Time series and structural analysis of monetary models of the US economy (1975) / Arnold Zellner and Franz C. Palm --
7. Time series versus structural models : a case study of Canadian manufacturing inventory behavior (1975) / Pravin K. Trivedi --
8. Time series analysis of the German hyperinflation (1978) / Paul Evans --
9. A time series analysis of seasonality in econometric models (1978) / Charles I. Plosser --
Comment (1978) / Gregory C. Chow --
Comment and implications for policy-makers and model builders (1978) / Raymond E. Lombra --
Response to discussants (1978) / Charles I. Plosser --
10. The behavior of speculative prices and the consistency of economic models (1985) / Roger I. Webb --
11. A comparison of the stochastic processes of structural and time series exchange rate models (1987) / Francis W. Ahking and Stephen M. Miller --
12. Encompassing univariate models in multivariate time series : a case study (1994) / Augustin Maravall and Alexandre Mathis --
13. Macroeconomic forecasting using pooled international data (1987) / Antonio Garcia-Ferrer, Richard A. Highfield, Franz C. Palm and Arnold Zellner --
14. Forecasting international growth rates using Bayesian shrinkage and other procedures (1989) / Arnold Zellner and Chansik Hong --
15. Turning points in economic time series, loss structures, and Bayesian forecasting (1990) / Arnold Zellner, Chansik Hong and Gaurang M. Gulati --
16. Forecasting turning points in international output growth rates using Bayesian exponentially weighted autoregression, time-varying parameter, and pooling techniques (1991) / Arnold Zellner, Chansik Hong and Chung-Ki Min --
17. Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates (1993) / Chung-Ki Min and Arnold Zellner --
18. Pooling in dynamic panel data models : an application to forecasting GDP growth rates (2000) / Andre J. Hoogstrate, Franz C. Palm and Gerard A. Pfann --
19. Forecasting turning points in countries' output growth rates : a response to Milton Friedman (1999) / Arnold Zellner and Chung-Ki Min --
20. Using Bayesian techniques for data pooling in regional payroll forecasting (1990) / James P. Lesage and Michael Magura --
21. Forecasting turing points in metropolitan employment growth rates using Bayesian techniques (1990) / James P. Lesage --
22. A note on aggregation, disaggregation, and forecasting performance (2000) / Arnold Zellner and Justin Tobias --
23. The Marshallian macroeconomic model (2000) / Arnold Zellner --
24. Bayesian modeling of economies and data requirements (2000) / Arnold Zellner and Bin Chen.
Responsibility: edited by Arnold Zellner and Franz C. Palm.
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Abstract:

This text offers key texts in the theory and application of the Structural Econometric Time Series Analysis (SEMTSA) approach.  Read more...

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   schema:reviewBody ""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 applications 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 measure sectors of economies is analyzed and described. This volume will prove invaluable to professionals, academics, and students alike."--BOOK JACKET." ;
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