Distributed Lags
Distributed Lags

Author: Phoebus J. Dhrymes

Publisher: North Holland

Published: 1981

Total Pages: 492

ISBN-13:

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This volume presents an analysis of the estimation of distributed lag models. It covers the algebraic structure of lag operators and examines the estimation of problems connected with finite and infinite lag structures, under a variety of assumptions pertaining to the error process. This revised edition emphasizes the potential applications of distributed lags, discussing the polynomial lag hypothesis and its relation to restricted least squares. Also, the test for autocorrelation of the error structure, when the model specification contains a lagged endogenous variable, is examined. The material is suitable for second-year graduate students in economics, and for undergraduates in statistics, mathematics, operations research, econometrics and electrical engineering, providing they have a background in calculus, linear algebra and mathematical statistics.

Time Lags in Biological Models
Time Lags in Biological Models

Author: N. MacDonald

Publisher: Springer Science & Business Media

Published: 2013-03-08

Total Pages: 122

ISBN-13: 3642931073

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In many biological models it is necessary to allow the rates of change of the variables to depend on the past history, rather than only the current values, of the variables. The models may require discrete lags, with the use of delay-differential equations, or distributed lags, with the use of integro-differential equations. In these lecture notes I discuss the reasons for including lags, especially distributed lags, in biological models. These reasons may be inherent in the system studied, or may be the result of simplifying assumptions made in the model used. I examine some of the techniques available for studying the solution of the equations. A large proportion of the material presented relates to a special method that can be applied to a particular class of distributed lags. This method uses an extended set of ordinary differential equations. I examine the local stability of equilibrium points, and the existence and frequency of periodic solutions. I discuss the qualitative effects of lags, and how these differ according to the choice of discrete or distributed lag. The models studied are drawn from the population dynamiCS of single species (logistic growth, the chemostat) and of interacting pairs of species (predation, mutualism), from cell population dynamiCS (haemopoiesis) and from biochemical kinetics (the Goodwin oscillator). The last chapter is devoted to a population model employing difference equations. All these models include non-linear terms.

Business Cycles: Theory and Empirical Methods
Business Cycles: Theory and Empirical Methods

Author: Willi Semmler

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 404

ISBN-13: 9401113645

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In macrodynamics and business cycle analysis we find nowadays a variety of approaches elaborating frameworks for studying the fluctuations in economic and financial data. These approaches are viewed from Keynesian, monetarist and rational expectations standpoints. There are now also numerous empirical methods for the testing of nonlinear data generating mechanisms. This volume brings together a selection of contributions on theories of the business cycle and new empirical methods and synopsizes the new results. The volume (i) gives an overview of current models and modern concepts and tools for analyzing the business cycle; (ii) demonstrates, where possible, the relation of those models to the history of business cycle analysis; and (iii) presents current work, surveys and original work, on new empirical methods of studying cycle generating mechanisms.

Econometrics: Alchemy or Science?
Econometrics: Alchemy or Science?

Author: David F. Hendry

Publisher: OUP Oxford

Published: 2000-10-26

Total Pages: 560

ISBN-13: 0191522112

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"Econometrics: Alchemy or Science?" analyses the effectiveness and validity of applying econometric methods to economic time series. The methodological dispute is long-standing, and no claim can be made for a single valid method, but recent results on the theory and practice of model selection bid fair to resolve many of the contentious issues. The book presents criticisms and evaluations of competing approaches, based on theoretical economic and econometric analyses, empirical applications, and Monte Carlo simulations, which interact to determine best practice. It explains the evolution of an approach to econometric modelling founded in careful statistical analyses of the available data, using economic theory to guide the general model specification. From a strong foundation in the theory of reduction, via a range of applied and simulation studies, it demonstrates that general-to-specific procedures have excellent properties. The book is divided into four Parts: Routes and Route Maps; Empirical Modelling Strategies; Formalization; and Retrospect and Prospect. A short preamble to each chapter sketches the salient themes, links to earlier and later developments, and the lessons learnt or missed at the time. A sequence of detailed empirical studies of consumers' expenditure and money demand illustrate most facets of the approach. Material new to this revised edition describes recent major advances in computer-automated model selection, embodied in the powerful new software program PcGets, which establish the operational success of the modelling strategy.

Dynamic Econometrics
Dynamic Econometrics

Author: David F. Hendry

Publisher:

Published: 1995

Total Pages: 918

ISBN-13: 9780198283164

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The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling. Professor Hendry deals with methodological issues (model discovery, data mining, and progressive research strategies); with major tools for modelling (recursive methods, encompassing, super exogeneity, invariance tests); and with practical problems (collinearity, heteroscedasticity, and measurement errors). He also includes an extensive study of US money demand. The book is self-contained, with the technical background covered in appendices. It is thus suitable for first year graduate students, and includes solved examples and exercises to facilitate its use in teaching. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.