Econometric Modeling Perspectives
Nova Science Publishers, 2008 - Econometric models - 110 pages
In this book the authors present a reassessment of some recently proposed econometric methods for the analysis of continuous-time specifications of economic models. Given the vastness of this stream of the literature, that does not allow for a full exposition of the topic, the authors concentrate on the estimation and simulation analysis of a continuous-time econometric model based on a theoretical framework -- the SETI model -- developed in Padoan (1996). The application is almost completely instrumental to a more thorough analysis of methodological issues entailed with continuous-time econometrics. Nevertheless, it presents some interesting theoretical aspects such as the process of diffusion of ICT and the role of services in international diffusion of technology. The standard methods are not suitable for theoretical models in which disequilibrium analysis is necessary and, in general, presents a clear limitation when the structural multi-equation form of the model should be preserved. Thus the authors show how, by means of continuous-time econometric, it is possible to estimate the parameters of the model using the Full Information Maximum Likelihood techniques in a time series set-up. Then, the authors extend the econometric analysis in order to evaluate the out-of-equilibrium dynamic properties of a system via simulation techniques. The declared aim of the present work is to define the conditions to the equilibrium and to discuss its stability properties. Furthermore, the application provides the guidelines for the formulation and empirical validation of a model considering growth-driven-by-technology phenomena, interactions between countries through trade effects, and the diffusion of technology. Finally, spatial aspects of the problem are explicitly taken into account.
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Preface Vll Chapter 1 Introduction
An Overview of the Literature
Models without Diffusion
13 other sections not shown
approach assumption behaviour block matrix capital accumulation Chapter consider consists continuous-time econometric continuous-time model covariance matrix defined derived differential equations diffusion effects diffusion of technology disequilibrium dummies Eaton and Kortum economies of Germany eigenvalues empirical endogenous variables equilibrium estimation and simulation exogenous Export Share factor FIML flow variables framework Gandolfo Germany Japan given growth and technology growth rate human capital hypothesis ideas Imported services income initial conditions integral Italy Japan Kalman filter knowledge accumulation labour likelihood function linear means methodology Moreover non-linear obtained OECD out-of-steady-state output Padoan panel data parameters Pareto distribution particular patent per-capita Porter and Stern possible present production function rate of growth ratio regional economies relationship relevant represents respectively returns to scale role SETI model spatial econometrics specialised specification spillover effects state-space steady-state solution stock of knowledge stocks and flows technology diffusion theory trade Wymer