Topics in Dynamic Model Analysis by Mario Faliva and Maria Grazia Zoia pdf free download

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Topics in Dynamic Model Analysis by Mario Faliva and Maria Grazia Zoia pdf free download

Topics in Dynamic Model Analysis by Mario Faliva and Maria Grazia Zoia pdf free download. 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.

Topics in Dynamic Model Analysis by Mario Faliva and Maria Grazia Zoia pdf free download

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.

Topics in Dynamic Model Analysis by Mario Faliva and Maria Grazia Zoia pdf free download

The final form solution – algebraic technicalities apart – arises in the wake of classical difference equation theory, displaying besides a transitory autonomous component, an exogenous one along with a stochastic nuisance term. This follows from a properly defined matrix function inversion admitting a Taylor expansion in the lag operator because of the assumptions regarding the roots of a determinant equation peculiar to SEM specifications. Such was the state of the art when, after Granger’s seminal work, time series econometrics came into the limelight and (co)integration burst onto the stage.

Topics in Dynamic Model Analysis by Mario Faliva and Maria Grazia Zoia pdf free download

While opening up new horizons to the modelling of economic dynamics, this nevertheless demanded a somewhat sophisticated analytical
apparatus to bridge the unit-root gap between SEM and VAR models. Over the past two decades econometric literature has by and large given preferential treatment to the role and content of time series econometrics as such and as compared with classical econometrics. Meanwhile, a fascinating – although at time cumbersome – algebraic toolkit has taken shape in a sort of osmotic relationship with (co)integration theory advancements.

Topics in Dynamic Model Analysis by Mario Faliva and Maria Grazia Zoia pdf free download

The picture just outlined, where lights and shadows – although not explicitly mentioned – still share out the scene, spurs us on to seek a deeper insight into several facets of dynamic model analysis, whence the idea of this monograph devoted to representation theorems and their analytical foundations.

Topics in Dynamic Model Analysis by Mario Faliva and Maria Grazia Zoia pdf free download

Topics in Dynamic Model Analysis by Mario Faliva and Maria Grazia Zoia pdf free download Books Free


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