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Comparison of Box-Jenkins and Bonn Monetary Model Predition Performance de M. N. Bhattacharyya

Comparison of Box-Jenkins and Bonn Monetary Model Predition Performance: Lecture Notes in Economics and Mathematical Systems, cartea 178

Autor M. N. Bhattacharyya
en Limba Engleză Paperback – iun 1980

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Specificații

ISBN-13: 9783540100119
ISBN-10: 3540100113
Pagini: 160
Ilustrații: VII, 146 p.
Dimensiuni: 155 x 235 x 8 mm
Greutate: 0.23 kg
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seria Lecture Notes in Economics and Mathematical Systems

Locul publicării:Berlin, Heidelberg, Germany

Public țintă

Research

Cuprins

1. Introduction.- 2. Bonn econometric model of German economy.- 3. ARIMA models for fifteen endogenous variables of the BNM model.- 4. Analysis of sample period lead 1 forecast errors.- 5. Bates-Granger composite forecast and its application in evaluating econometric model.- 6. Analysis of post-sample lead 1 forecast errors.- 7. Causal relationships between selected economic variables.- 7.1 Granger’s definition of causality and its characterization.- 7.2 Detection of causality: Pierce’s broad tests.- 7.3 Causal relationships between the selected monetary variables of the BNM model.- 7.4 Progressive ?2 tests for detecting causality.- 7.5 Causal relationships between short-term interest rate, 90-day money rate Frankfurt, and other selected variables.- Glossary of abbreviations used in BNM model.