◆新書介紹
◆圖書分類
◆進階查詢
◆特價書區
◆教師服務
◆會員專區
◆購物車
◆討論區
◆網站連結

美國地址驗證
貨物追蹤

SSL 交易安全聲明


METHODS FOR APPLIED MACROECONOMIC RESEARCH 2007 (H)

△看放大圖
ISBN: 9780691115047
類別: 經濟學Economics
出版社: PRINCETON UNIVERSITY PRESS
作者: CANOVA
年份: 2007
裝訂別: 精裝
頁數: 512
定價: 2,250
售價: 2,025
原幣價: USD 70.00
狀態: 缺書
The last twenty years have witnessed tremendous advances in the mathematical, statistical, and computational tools available to applied macroeconomists. This rapidly evolving field has redefined how researchers test models and validate theories. Yet until now there has been no textbook that unites the latest methods and bridges the divide between theoretical and applied work.

Fabio Canova brings together dynamic equilibrium theory, data analysis, and advanced econometric and computational methods to provide the first comprehensive set of techniques for use by academic economists as well as professional macroeconomists in banking and finance, industry, and government. This graduate-level textbook is for readers knowledgeable in modern macroeconomic theory, econometrics, and computational programming using RATS, MATLAB, or Gauss. Inevitably a modern treatment of such a complex topic requires a quantitative perspective, a solid dynamic theory background, and the development of empirical and numerical methods--which is where Canova's book differs from typical graduate textbooks in macroeconomics and econometrics. Rather than list a series of estimators and their properties, Canova starts from a class of DSGE models, finds an approximate linear representation for the decision rules, and describes methods needed to estimate their parameters, examining their fit to the data. The book is complete with numerous examples and exercises.

Today's economic analysts need a strong foundation in both theory and application. Methods for Applied Macroeconomic Research offers the essential tools for the next generation of macroeconomists.

TABLE OF CONTENTS:

Preface xi

Chapter 1: Preliminaries 1
1.1 Stochastic Processes 2
1.2 Convergence Concepts 3
1.3 Time Series Concepts 8
1.4 Laws of Large Numbers 14
1.5 Central Limit Theorems 16
1.6 Elements of Spectral Analysis 18


Chapter 2: DSGE Models, Solutions, and Approximations 26
2.1 A Few Useful Models 27
2.2 Approximation Methods 45


Chapter 3: Extracting and Measuring Cyclical Information 70
3.1 Statistical Decompositions 72
3.2 Hybrid Decompositions 83
3.3 Economic Decompositions 100
3.4 Time Aggregation and Cycles 104
3.5 Collecting Cyclical Information 105


Chapter 4: VAR Models 111
4.1 TheWold Theorem 112
4.2 Specification 118
4.3 Moments and Parameter Estimation of a VAR.q/ 126
4.4 Reporting VAR Results 130
4.5 Identification 141
4.6 Problems 151
4.7 Validating DSGE Models with VARs 159


Chapter 5: GMM and Simulation Estimators 165
5.1 Generalized Method of Moments and Other Standard Estimators 166
5.2 IV Estimation in a Linear Model 169
5.3 GMM Estimation: An Overview 176
5.4 GMM Estimation of DSGE Models 191
5.5 Simulation Estimators 197


Chapter 6: Likelihood Methods 212
6.1 The Kalman Filter 214
6.2 The Prediction Error Decomposition of Likelihood 221
6.3 Numerical Tips 228
6.4 ML Estimation of DSGE Models 230
6.5 Two Examples 240


Chapter 7: Calibration 248
7.1 A Definition 249
7.2 The Uncontroversial Parts 250
7.3 Choosing Parameters and Stochastic Processes 252
7.4 Model Evaluation 259
7.5 The Sensitivity of the Measurement 279
7.6 Savings, Investments, and Tax Cuts: An Example 282


Chapter 8: Dynamic Macro Panels 288
8.1 From Economic Theory to Dynamic Panels 289
8.2 Panels with Homogeneous Dynamics 291
8.3 Dynamic Heterogeneity 304
8.4 To Pool or Not to Pool? 315
8.5 Is Money Superneutral? 321


Chapter 9: Introduction to Bayesian Methods 325
9.1 Preliminaries 326
9.2 Decision Theory 335
9.3 Inference 336
9.4 Hierarchical and Empirical Bayes Models 345
9.5 Posterior Simulators 353
9.6 Robustness 370
9.7 Estimating Returns to Scale in Spain 370


Chapter 10: Bayesian VARs 373
10.1 The Likelihood Function of an m-Variable VAR(q) 374
10.2 Priors for VARs 376
10.3 Structural BVARs 390
10.4 Time-Varying-Coefficient BVARs 397
10.5 Panel VAR Models 404


Chapter 11: Bayesian Time Series and DSGE Models 418
11.1 Factor Models 419
11.2 Stochastic Volatility Models 427
11.3 Markov Switching Models 433
11.4 Bayesian DSGE Models 440


Appendix A Statistical Distributions 463


References 469
Index 487
Springer 國外現貨
帳號:
密碼:
 

    

 

 

 
科大文化事業股份有限公司 SCI-TECH Publishing Company Ltd.
221 新北市汐止區新台五路一段99號11樓之8
TEL: 886-2-26971353 FAX: 886-2-26971631
Copyright © 2004 SCI-TECH All Rights Reserved.
訪客人數:2859638