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List of Figures and Tables xi
Foreword Peter C. B. Phillips xiii
Preface xix
Introduction to Continuous Time Modelling 1
Introduction 1
Why Model in Continuous Time 3
Introduction to General Continuous Time Models 9
Continuous Time Models in Finance 18
Continuous Time Macroeconomic Modelling 31
Policy Analysis in Continuous Time Macroeconomic Models 42
Stochastic Trends in Econometric Models 45
An Outline of Contents 47
Continuous Time Econometrics with Stochastic Trends 50
Introduction 50
The Continuous Time Model 53
The Exact Discrete Model and Its VARMAX Representation 58
Estimation and Forecasting 67
Conclusion 79
Formulae for the Coefficient Matrices of Exact Discrete Model 80
Formulae for the Autocovariance Matrices 85
Model Specification 114
Introduction 114
Equations and General Properties of the Model 116
Private Consumption 125
Residential Fixed Capital 128
Employment 130
Private Non-Residential Fixed Capital 134
Output 136
Price Level 138
Wage Rate 141
Interest Rate 144
Imports 145
Non-Oil Exports 146
Transfers Abroad 147
Real Profits Interest and Dividends from Abroad 147
Cumulative Net Real Investment Abroad 149
Exchange Rate 150
Stocks 151
Conclusion 152
Derivation of General Adjustment Equations 152
Distributed Lag Relations 164
Steady State and Stability Analysis 173
Introduction 173
The Steady State 175
Stability Analysis 180
Stability and Bifurcations 192
Conclusion 197
Steady State Level Parameters 197
Transformed Model 203
Empirical Estimation of the Model and Derived Results 213
Introduction 213
Estimation from UK Data 214
Time Lag Distributions 223
Steady State and Stability Properties 232
Post-Sample Forecasting Performance 240
Conclusion 248
Linear Approximation about Sample Means 249
Data 262
References 269
Author Index 285
Subject Index 288
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