Topics in Dynamic Model Analysis Advanced Matrix Methods and Unit-Ro
Classical econometrics - which plunges its roots in economic theory with simultaneous equations models (SEM) as offshoots - and time series econometrics - which stems from economic data with vector autoregr- sive (VAR) models as offsprings - scour, like t
- PDF / 4,631,491 Bytes
- 152 Pages / 439.35 x 666.15 pts Page_size
- 10 Downloads / 170 Views
558
Mario Faliva Maria Grazia Zoia
Topics in Dynamic Model Analysis Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems
Spri ringer
Authors Prof. Mario Faliva Full Professor of Econometrics and Head of the Department of Econometrics and Applied Mathematics Faculty of Economics Catholic University of Milan Largo Gemelli, 1 1-20123 Milano, Italy [email protected]
Prof. Maria Grazia Zoia Associate Professor of Econometrics Faculty of Economics Catholic University of Milan Largo Gemelli, 1 1-20123 Milano, Italy [email protected]
Library of Congress Control Number: 2005931329 ISSN 0075-8442 ISBN-10 3-540-26196-6 Springer Berlin Heidelberg New York ISBN-13 978-3-540-26196-4 Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically therightsof translation, reprinting, re-use of illustrations, recitation, broadcasting, reproduction on microfilms or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9,1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springeronline.com © Springer-Veriag Beriin Heidelberg 2006 Printed in Germany The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera ready by author Cover design: Erich Kirchner, Heidelberg Printed on acid-free paper
42/3130J6
5 4 3 2 10
To Massimiliano
To Giulia and Sofia
Preface
Classical econometrics - which plunges its roots in economic theory with simultaneous equations models (SEM) as offshoots - and time series econometrics - which stems from economic data with vector autoregressive (VAR) models as offsprings - scour, like the Janus's facing heads, the flowing of economic variables so as to bring to the fore their autonomous and non-autonomous dynamics. It is up to the so-called final form of a dynamic SEM, on the one hand, and to the so-called representation theorems of (unit-root) VAR models, on the other, to provide informative closed form expressions for the trajectories, or time paths, of the economic variables of interest. Should we look at the issues just put forward from a mathematical standpoint, the emblematic models of both classical and time series econometrics would turn out to be difference equation systems with ad hoc characteristics, whose solutions are attained via a final form or a representation theorem approach. The final form solution - algebraic technicalities apart - arises in the wake of classical difference equation theory, displaying besides a transitory autonomous componen
Data Loading...
