In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

羟氨苄青霉素引起大疱性类天疱疮样疹

Why do growth rates differ? This paper surveys the recent empirical literature on economic growth, starting with a discussion of stylized facts, data problems, and statistical methods. Six research questions are emphasized, drawing on growth and convergence research. In answering these questions, the paper argues that efficiency has grown at different rates across countries, casting doubt on neoclassical models in which technology is a public good. The latter half of the paper rounds up a variety of findings before providing answers to all six questions, including a short summary of how differences in growth rates arise.

The New Growth Evidence

The condition of the working class in England.

Multivariate Granger causality between CO2 emissions, energy consumption, FDI (foreign direct investment) and GDP (gross domestic product): Evidence from a panel of BRIC (Brazil, Russian Federation, India, and China) countries

Tests of the Convergence Hypothesis or the tendency for per capita income levels to narrow over time, have generally utilized cross-sectional data and have usually found conflicting evidence. In this study we utilize time-series data on Australia, UK and USA for the period 1870–1992, and time-series tests, to consider both ‘catching-up2 and ‘long-run convergence’. The paper finds evidence in favour of long-run convergence in per capita income levels for the UK and Australia for the period 1892–1992 and catching-up in the case of UK and USA, and Australia and USA, giving some support for the exogenous approaches to economic growth.

A Time Series Perspective on Convergence: Australia, UK and USA since 1870

Time-series based tests of the convergence hypothesis: Some positive results

The existence, timing, and possible causes of the British industrial revolution are considered by investigating the time series properties of industrial production and various explanatory variables. Utilising two types of robust cointegration-based causality tests we argue that domestic forces, notably technological progress, shaped the industrial revolution, whereas overseas trade expansion was mainly a consequence of industrial growth. Results from Granger-type VAR tests are contrasted with those of Toda and Phillips (Working paper 91–07, University of Western Australia, 1991b), where the latter manifest some of the potential problems raised by the authors when applied to a data set of this type. An understanding of the possible causes of the first industrial revolution may shed more general light on the forces promoting industrialization and growth. To the extent that the first industrial revolution offers a template, exports appear not to provide a simple pathway to industrialization.

Vector autoregression, cointegration and causality: testing for causes of the British industrial revolution

A ustralia and Canada have distinctively different macroeconomic histories. Australia's GDP per caput was well above those of Britain and the United States in 1870, and more than twice the Canadian level. By the 1980s the figure for Canada almost matched the United States, and was substantially above that of Australia and Britain. Why Canada and Australia, both regions of recent European settlement with British colonial origins, should have widely different macroeconomic records raises a number of puzzles, which we explore by utilizing new developments in growth theory and time series analysis. Our primary purpose is to investigate the extent to which Australia's links with Britain, and Canada's with the United States, shaped the comparative economic development of the two dominions. Convergence of incomes between economies arises naturally within Solow's growth model as leaders suffer diminishing returns to investment.2 However, the historical records of Australia and Canada, in comparison with those of Britain and the United States, point to a greater complexity in patterns of economic development than predicted by simple growth models, and diversity appears even greater outside the English-speaking world.3 Abramovitz argues that income convergence depends on social capability, and his perspective may shed light on the performance of the two dominions.' The possibility that income convergence may be conditional on social capability receives formal treatment in Barro's growth model, which augments the standard Solow approach to incorporate, for example, differences in education.5 Here convergence may be long drawn out, as in the case of income levels between individual US states. The issue of social capability centres on the cultural and institutional milieu underpinning an economy's technological capability. Within the augmented

A tale of two dominions: comparing the macroeconomic records of Australia and Canada since 1870'

Discontinuities in competitiveness: the impact of the First World War on British industry

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