Khalid Ben Nowman

Gaussian estimation of a second order continuous time macroeconometric model of the UK

Abstract This paper describes the first application to an economy-wide macroeconometric model of recently developed methods for the exact Gaussian estimation of higher order continuous time dynamic models. The new model is formulated as a system of second order differential equations, thus providing a much richer dynamic specification than the predominantly first order continuous time macroeconometric models developed during the last 15 years. It also makes intensive use of economic theory to obtain a parsimonious parametrization, is designed in such a way as to permit a rigorous mathematical investigation of its steady state and asymptotic stability properties, and makes systematic use of the assumption of long-run rational expectations. In addition to the exact Gaussian estimates of the structural parameters, the paper includes the first set of continuous lag distributions derived from estimates that take account of the exact restrictions on the distribution of the discrete data implied by a continuous time model. It also includes the first estimates of the coefficient matrices of the exact discrete model, in its VARMAX form, satisfied by the discrete stock and flow data generated by a higher order continuous time dynamic model.

Monetary and fiscal policy in a second-order continuous time macroeconometric model of the United Kingdom

Abstract This paper is concerned with the application to monetary and fiscal policy analysis of a recently developed second-order continuous time macroeconometric model of the United Kingdom. It deals with the effect on stability of both simple ad hoc policy feedbacks and more sophisticated feedbacks derived by using optimal control theory. The latter are designed to minimize an infinite horizon quadratic cost function involving deviations of output, the exchange rate, and the monetary and fiscal policy instruments from their steady state paths and, also, the rates of change of the policy instruments.

A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends

Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modeling. This monograph presents the first continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modeling. The book describes the new model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behavior. The model is estimated using newly developed exact Gaussian estimation method for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.

A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends: References

Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modelling. This monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modelling. The book describes the model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady-state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behaviour. The model is estimated using newly developed exact Gaussian estimation methods for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.

A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends: Subject Index

Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modeling. This monograph presents the first continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modeling. The book describes the new model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behavior. The model is estimated using newly developed exact Gaussian estimation method for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.

A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends: List of Figures and Tables

Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modeling. This monograph presents the first continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modeling. The book describes the new model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behavior. The model is estimated using newly developed exact Gaussian estimation method for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.

A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends: Frontmatter

Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modeling. This monograph presents the first continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modeling. The book describes the new model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behavior. The model is estimated using newly developed exact Gaussian estimation method for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.

A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends: Contents

Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modeling. This monograph presents the first continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modeling. The book describes the new model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behavior. The model is estimated using newly developed exact Gaussian estimation method for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.