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

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Cambridge University Press, Apr 16, 2007 - Business & Economics - 290 pages
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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.

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About the author (2007)

The late Albert Rex Bergstrom was Emeritus Professor of Economics, a former Dean of the School of Social Studies and Pro Vice Chancellor at the University of Essex and a Fellow of the Econometric Society. He was one of the world's leading authorities on continuous time econometric modelling. Professor Bergstrom was formerly Professor of Econometrics at the University of Auckland, and Reader at the London School of Economics. His professional papers appeared in leading journals such as Econometrica and Econometric Theory. Professor Bergstrom's earlier books include The Construction and Use of Economic Models (1967), Continuous Time Econometric Modelling (1990), Statistical Inference in Continuous Time Economic Models (editor, 1976), and Stability and Inflation: Essays in Memory of A. W. Phillips (edited with A. J. L. Catt, M. H. Peston, and B. D. J. Silverstone, 1978).

Khalid Ben Nowman is Professor of Finance at the Westminster Business School, University of Westminster, in London. He previously worked at City University Business School, London Business School, University of Essex, Durham University, and University of Kent and in the banking sector at the Bank of England, First National Bank of Chicago, and Barclays Bank. Professor Nowman's papers have appeared in leading journals such as Econometric Theory, Journal of Finance, Journal of Financial and Quantitative Analysis, and the Journal of Economic Dynamics and Control.

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