## Computational Methods for the Study of Dynamic Economies

*Ramon Marimon and Andrew Scott (eds)*

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.001.0001
- Subject:
- Economics and Finance, Macro- and Monetary Economics

Macroeconomics increasingly uses stochastic dynamic general equilibrium models to understand theoretical and policy issues. Unless very strong assumptions are made, understanding the properties of ... More

## Panel Data Econometrics

*Manuel Arellano*

- Published in print:
- 2003
- Published Online:
- July 2005
- ISBN:
- 9780199245284
- eISBN:
- 9780191602481
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199245282.001.0001
- Subject:
- Economics and Finance, Econometrics

This book reviews some of the main topics in panel data econometrics. It analyses econometric models with non-exogenous explanatory variables, and the problem of distinguishing between dynamic ... More

## Introduction

*Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin*

### in Global and National Macroeconometric Modelling: A Long-Run Structural Approach

- Published in print:
- 2006
- Published Online:
- September 2006
- ISBN:
- 9780199296859
- eISBN:
- 9780191603853
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199296855.003.0001
- Subject:
- Economics and Finance, Econometrics

This chapter introduces the long-run structural approach to modelling. It makes brief comparisons with the key alternative approaches, namely large-scale simultaneous equation models, unrestricted ... More

## Analyzing Effective Connectivity with EEG and MEG

*Stefan J. Kiebel, Marta I. Garrido, and Karl J. Friston*

### in Simultaneous EEG and fMRI: Recording, Analysis, and Application

- Published in print:
- 2010
- Published Online:
- May 2010
- ISBN:
- 9780195372731
- eISBN:
- 9780199776283
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195372731.003.0015
- Subject:
- Neuroscience, Techniques

Developments in M/EEG analysis allows for models that are sophisticated enough to capture the full richness of the data. This chapter focuses on dynamic causal modeling (DCM) for M/EEG, which entails ... More

## Robustness and Dynamic Modeling

*Roger M. Barker*

### in Corporate Governance, Competition, and Political Parties: Explaining Corporate Governance Change in Europe

- Published in print:
- 2010
- Published Online:
- May 2010
- ISBN:
- 9780199576814
- eISBN:
- 9780191722509
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199576814.003.0007
- Subject:
- Business and Management, International Business, Corporate Governance and Accountability

A variety of statistical robustness tests confirm that the conclusions of Chapter 6 are not sensitive to the inclusion of particular countries or observations in the data set, or the choice of ... More

## Introduction

*Manuel Arellano*

### in Panel Data Econometrics

- Published in print:
- 2003
- Published Online:
- July 2005
- ISBN:
- 9780199245284
- eISBN:
- 9780191602481
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199245282.003.0001
- Subject:
- Economics and Finance, Econometrics

This introductory chapter begins with a brief discussion on how the term ‘panel data’ is applied to a wide range of situations in econometrics. It describes the two main objectives of this volume: ... More

## Incorporating plankton respiration in models of aquatic ecosystem function

*Kevin J. Flynn*

### in Respiration in Aquatic Ecosystems

- Published in print:
- 2005
- Published Online:
- September 2007
- ISBN:
- 9780198527084
- eISBN:
- 9780191713347
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198527084.003.0013
- Subject:
- Biology, Aquatic Biology

This chapter considers the needs, ways, and means to describe respiratory activities within ordinary differential equation based dynamic models of planktonic organisms. An overview of the ... More

## Dynamic Trading Models, Technical Analysis, and the Role of Trading Volume

*Markus K. Brunnermeier*

### in Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780198296980
- eISBN:
- 9780191596025
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198296983.003.0004
- Subject:
- Economics and Finance, Financial Economics

Focuses on dynamic models. The emphasis is on explaining technical analysis. These models show that past prices still carry valuable information. Some of these models also explain why it is rational ... More

## Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

*Francis X. Diebold and Glenn D. Rudebusch*

- Published in print:
- 2013
- Published Online:
- October 2017
- ISBN:
- 9780691146805
- eISBN:
- 9781400845415
- Item type:
- book

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691146805.001.0001
- Subject:
- Economics and Finance, History of Economic Thought

Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, ... More

## Dynamic Regression Models

*Luc Bauwens, Michel Lubrano, and Jean-François Richard*

### in Bayesian Inference in Dynamic Econometric Models

- Published in print:
- 2000
- Published Online:
- September 2011
- ISBN:
- 9780198773122
- eISBN:
- 9780191695315
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198773122.003.0005
- Subject:
- Economics and Finance, Econometrics

This chapter examines the application of the dynamic regression models for inference and prediction with dynamic econometric models. It shows how to extend to the dynamic case the notion of Bayesian ... More

## Dynamic Nelson-Siegel

*Francis X. Diebold and Glenn D. Rudebusch*

### in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

- Published in print:
- 2013
- Published Online:
- October 2017
- ISBN:
- 9780691146805
- eISBN:
- 9781400845415
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691146805.003.0002
- Subject:
- Economics and Finance, History of Economic Thought

This chapter starts with static in the cross section, then proceeds quickly to dynamic Nelson–Siegel modeling, with all its nuances and opportunities. Among other things, it emphasizes the model's ... More

## Facts, Factors, and Questions

*Francis X. Diebold and Glenn D. Rudebusch*

### in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

- Published in print:
- 2013
- Published Online:
- October 2017
- ISBN:
- 9780691146805
- eISBN:
- 9781400845415
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691146805.003.0001
- Subject:
- Economics and Finance, History of Economic Thought

This chapter introduces some important conceptual, descriptive, and theoretical considerations regarding nominal government bond yield curves. Conceptually, just what is it that are we trying to ... More

## Arbitrage-Free Nelson-Siegel

*Francis X. Diebold and Glenn D. Rudebusch*

### in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

- Published in print:
- 2013
- Published Online:
- October 2017
- ISBN:
- 9780691146805
- eISBN:
- 9781400845415
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691146805.003.0003
- Subject:
- Economics and Finance, History of Economic Thought

This chapter discusses a new class of affine arbitrage-free models that overcome the problems with empirical implementation of the canonical affine arbitrage-free model. This new class is based on ... More

## Extensions

*Francis X. Diebold and Glenn D. Rudebusch*

### in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

- Published in print:
- 2013
- Published Online:
- October 2017
- ISBN:
- 9780691146805
- eISBN:
- 9781400845415
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691146805.003.0004
- Subject:
- Economics and Finance, History of Economic Thought

This chapter highlights aspects of the vibrant ongoing research program associated with the ideas developed in earlier chapters. It begins with a collage-style sketch of work involving Bayesian ... More

## Introduction: From Pipeline Economics to Computational Economics

*Ramon Marimon and Andrew Scott*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0001
- Subject:
- Economics and Finance, Macro- and Monetary Economics

Starts by looking at the advances in macroeconomics that have been made since A. W. Phillips's 1958 Economica paper and his physical economic model (made of piping and valves) designed to teach ... More

## Dynamic Stock Selection Strategies: A Structured Factor Model Framework *

*Carlos M. Carvalho, Hedibert F. Lopes, and Omar Aguilar*

### in Bayesian Statistics 9

- Published in print:
- 2011
- Published Online:
- January 2012
- ISBN:
- 9780199694587
- eISBN:
- 9780191731921
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199694587.003.0002
- Subject:
- Mathematics, Probability / Statistics

We propose a novel framework for estimating the time‐varying covariation among stocks. Our work is inspired by asset pricing theory and associated developments in Financial Index Models. We work with ... More

## Virus-Host Dynamics in a Complex Milieu

*Joshua S. Weitz*

### in Quantitative Viral Ecology: Dynamics of Viruses and Their Microbial Hosts

- Published in print:
- 2016
- Published Online:
- October 2017
- ISBN:
- 9780691161549
- eISBN:
- 9781400873968
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691161549.003.0007
- Subject:
- Biology, Disease Ecology / Epidemiology

This chapter introduces a series of dynamic models for exploring the mechanisms underlying the emergent features of complex ecosystems. Models of complex food webs including viral parasites reflect ... More

## Computation of Equilibria in Heterogeneous‐Agent Models

*José‐Víctor Ríos‐Rull*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0011
- Subject:
- Economics and Finance, Macro- and Monetary Economics

There are many questions in economics for which heterogeneous‐agent dynamic models (i.e. models populated by agents that are different from each other) have to be used to provide answers. The first ... More

## A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily

*Harald Uhlig*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0003
- Subject:
- Economics and Finance, Macro- and Monetary Economics

An extensive treatment is provided of methods that use log‐linear approximations to solve nonlinear dynamic discrete‐time stochastic models. These methods, based on their linear counterparts, have ... More

## Finite‐Difference Methods for Continuous‐Time Dynamic Programming

*Graham V. Candler*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0008
- Subject:
- Economics and Finance, Macro- and Monetary Economics

Introduces some of the methods and underlying ideas behind computational fluid dynamics—in particular, the use is discussed of finite‐difference methods for the simulation of dynamic economies. A ... More