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Topics in Dynamic Model Analysis

Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems

  • Book
  • © 2006

Overview

Authors:
  1. Mario Faliva

    1. Full Professor of Econometrics and Head of the Department of Econometrics and Applied Mathematics Faculty of Economics, Catholic University of Milan, Milano, Italy

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  2. Maria Grazia Zoia

    1. Associate Professor of Econometrics Faculty of Economics, Catholic University of Milan, Milano, Italy

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    You can also search for this author in PubMed   Google Scholar

Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 558)

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Table of contents (3 chapters)

  1. Front Matter

    Pages I-X
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  2. The Algebraic Framework of Unit-Root Econometrics

    Pages 1-51

  3. The Statistical Setting

    Pages 53-78

  4. Econometric Dynamic Models: from Classical Econometrics to Time Series Econometrics

    Pages 79-131

  5. Back Matter

    Pages 133-146
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Keywords

About this book

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 autoregr- sive (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. It is up to the so-called final form of a dy­ namic 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 vari­ ables 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 represen­ tation theorem approach. The final form solution - algebraic technicalities apart - arises in the wake of classical difference equation theory, display­ ing besides a transitory autonomous component, an exogenous one along with a stochastic nuisance term. This follows from a properly defined ma­ trix function inversion admitting a Taylor expansion in the lag operator be­ cause of the assumptions regarding the roots of a determinant equation pe­ culiar to SEM specifications.

Authors and Affiliations

  • Full Professor of Econometrics and Head of the Department of Econometrics and Applied Mathematics Faculty of Economics, Catholic University of Milan, Milano, Italy

    Mario Faliva

  • Associate Professor of Econometrics Faculty of Economics, Catholic University of Milan, Milano, Italy

    Maria Grazia Zoia

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