Continuous Time Econometric Modelling.

Abstract

Part 1 Theoretical models of cyclical growth: a model of technical progress, the production function and cyclical growth monetary phenomena and economic growth - a synthesis of neoclassical and Keynsian theories. Part 2 Estimation, forecasting and control: nonrecursive models as discrete approximations to systems of stochastic differential equations Gaussian estimation of structural parameters in higher order continuous time dynamic models the estimation of parameters in nonstationary higher order continuous time dynamic models the estimation of open higher order continuous time dynamic models with mixed stock and flow data hypothesis testing in continuous time econometric models optimal forecasting of discrete stock and flow data generated by a higher order continuous time system optimal control in wide-sense stationary continous time stochastic models. Part 3 Applications: a model of disequilibrium neoclassical growth and its application to the United Kingdom, C.R.Wymer monetary, fiscal, and exchange rate policy in a continuous time econometric model of the United Kingdom Gaussian estimation of a continuous time model of demand for consumer durable goods with applications to demand in the United Kingdom, 1973-84, M.J.Chambers.

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