Specification, Estimation, and Analysis of Macroeconomic Models, Hardcover by…

This book gives a practical, applications-oriented account of the latest techniques for estimating and analyzing large, nonlinear macroeconomic models. Ray Fair demonstrates the application of these techniques in a detailed presentation of several actual models, including his United States model, his multicountry model, Sargent’s classical macroeconomic model, autoregressive and vector autoregressive models, and a small (twelve equation) linear structural model.

Stochastic Approximation and Non-Linear Regression, Paperback by Albert, Arth…

In contrast to the traditional formulation, data are imagined to arrive in temporal succession. The main purpose of this research is to relate the large-sample statistical behavior of such estimates (consistency, rate of convergence, large-sample distribution theory, asymptotic efficiency) to the properties of the regression function and the choice of smoothing vectors.