Econometrics

The Structural Econometric Time Series Analysis Approach

Name: The Structural Econometric Time Series Analysis Approach
Author: Arnold Zellner
ISBN: 9780521187435

by Arnold Zellner, Franz C. Palm

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Overview

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.

Synopsis

Offers key texts in the theory and application of the Structural Econometric Time Series Analysis (SEMTSA) approach.

About the Author, Arnold Zellner

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.