The Structural Econometric Time Series Analysis Approach, Zellner, Arnold<-

The Structural Econometric Time Series Analysis ApproachAuthor(s): Arnold Zellner, Franz C. Palm\nFormat: Paperback\nPublisher: Cambridge University Press, United Kingdom\nImprint: Cambridge University Press\nISBN-13: 9780521187435, 978-0521187435\nSynopsis\nBringing together a collection of previously published work, this book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and ap.