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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


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


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 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


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


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


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


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


Discrete State‐Space Methods for the Study of Dynamic Economies

Craig Burnside

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:
10.1093/0199248273.003.0005
Subject:
Economics and Finance, Macro- and Monetary Economics

A number of numerical methods are discussed for solving dynamic stochastic general equilibrium models that fall within the common category of discrete state‐space methods. These methods can be ... More


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