This book is based on two Sir Richard Stone lectures at the Bank of England and the National Institute for Economic and Social Research. Largely non-technical, the first part of the book covers some of the broader issues involved in Stone's and others' work in statistics. It explores the more philosophical issues attached to statistics, econometrics and forecasting and describes the paradigm shift back to the Bayesian approach to scientific inference. The first part concludes with simple examples from the different worlds of educational management and golf clubs. The second, more technical part covers in detail the structural econometric time series analysis (SEMTSA) approach to statistical and econometric modeling.
Author(s): Arnold Zellner
Year: 2004
Language: English
Pages: 184
Tags: Финансово-экономические дисциплины;Эконометрика;
Cover......Page 1
Half-title......Page 3
Title......Page 9
Copyright......Page 10
Contents......Page 11
Figures......Page 12
Tables......Page 13
Preface......Page 15
1.1 Introduction......Page 21
1.2 Overview of the Bayesian approach......Page 27
1.3 Some canonical problems......Page 35
1.4 Bayes – non-Bayes issues......Page 42
Issue 1. Learning model?......Page 43
Issues 3 and 4. Probabilities associated with hypotheses to express degrees of confidence?......Page 44
Issue 5. Probability interval for a parameter......Page 46
Issue 6. Predictive intervals?......Page 47
Issue 7. Minimization of Bayes risk?......Page 49
Issues 8 and 9. Prior distributions and subjective prior information?......Page 50
Issue 10. Integrating out nuisance parameters?......Page 54
Issues 11 and 12. Asymptotic and finite sample properties?......Page 55
Personal conclusion?......Page 57
1.5 The role of forecasting in econometrics and statistics......Page 59
1.6 The structural econometric modeling, time series analysis (SEMTSA) approach......Page 63
1.7 Elaborations of the ARLI model......Page 67
1.8 Point forecasting results......Page 69
1.9 Turning point forecasting methods and results......Page 72
1.10 Compatibility with economic theory......Page 83
1.11 The Marshallian macroeconomic model......Page 86
lecture 2 National Institute of Economic and Social Research......Page 99
2.1 The structural econometric modeling, time series analysis (SEMTSA) approach......Page 101
2.2 Application of the SEMTSA approach to macroeconomic data......Page 114
2.3 Models and economic theory......Page 128
Disaggregation and the Marshallian macroeconomic model......Page 129
Model specification, estimation and forecasting......Page 133
Data plots and forecasting results......Page 140
appendix On the questionable virtue of aggregation......Page 145
LECTURE 1: BANK OF ENGLAND......Page 150
LECTURE 2: NATIONAL INSTITUTE OF ECONOMIC AND SOCIAL RESEARCH......Page 155
APPENDIX: ON THE QUESTIONABLE VIRTUE OF AGGREGATION......Page 157
References......Page 158
Subject index......Page 175
Author index......Page 181
