Mittnik System-Theoretic Methods in Economic Modelling I

1. Auflage 2014
ISBN: 978-1-4832-9622-7
Verlag: Elsevier Science & Techn.
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band Volume 19, 192 Seiten, Web PDF

Reihe: International Series in Modern Applied Mathematics and Computer Science

The value of applying system-theoretic concepts to economic modelling problems arises from the fact that it offers a unifying framework for modelling dynamic systems. In addition to offering this powerful conceptual framework, it provides a wide range of tools useful in applied work. System-theoretic techniques enter predominantly two stages of economic modelling efforts: the stage of model construction and the stage of model application in accordance with the modelling. The objective of this and subsequent volumes on System-Theoretic Methods in Economic Modelling I is to initiate and/or intensify dialogues between researchers and practitioners within and across the disciplines involved. This first volume brings together papers exhibiting a wide range of system-theoretic techniques and applications to economic problems. The papers have been divided into two groups, following roughly--but not necessarily--the above classification into the construction and application stages of economic modelling. The papers in the first group focus on the identification of dynamic and static systems, while the papers in the second group address dynamic optimization problems.

Autoren/Hrsg.

Mittnik, S.

Inhaltsverzeichnis

1;Front Cover;1
2;System-Theoretic Methods in Economic Modelling I;4
3;Copyright Page;5
4;Table of Contents;6
5;PREFACE;8
6;CHAPTER 1. A TWO-STEP STATE SPACE TIME SERIES MODELING METHOD;10
6.1;1. INTRODUCTION;10
6.2;2. DYNAMIC AGGREGATION;11
6.3;3. MODELING PROCEDURE;12
6.4;4. DECOMPOSITION INTO TRENDS AND CYCLICAL COMPONENTS;14
6.5;5. EXAMPLES;16
6.6;6. CONCLUDING REMARKS;19
6.7;REFERENCES;20
6.8;APPENDIX;20
7;CHAPTER 2. SYSTEM THEORETIC TIME SERIES: AN APPLICATIONTO INVENTORIES AND PRICES OF CALIFORNIA RANGE CATTLE;22
7.1;1. INTRODUCTION;22
7.2;2. SYSTEM THE ORETIC TIME SERIES (STTS): A BRIEF OVER VIEW OF THE PROCEDURE;23
7.3;3. THE BEEF MODEL;27
7.4;4. CONCLUSION;32
7.5;REFERENCES;32
8;CHAPTER 3. MULTIVARIATE TIME SERIES ANALYSIS WITHSTATE SPACE MODELS;34
8.1;1. INTRODUCTION;34
8.2;2. ESTIMATION OF SYSTEM MATRICES FOR AUTOREGRESSIVE PROCESSES;35
8.3;3. AUTOREGRESSIVE PROCESSES WITH EXOGENOUS VARIABLES;39
8.4;4. EXTENSION TO AUTOREGRESSIVE MOVING AVERAGE PROCESSES;41
8.5;5. CONCLUDING REMARKS;45
8.6;REFERENCES;45
9;CHAPTER 4. OPTIMAL FORECASTING OF DISCRETE STOCK AND FLOW DATA GENERATED BY A HIGHER ORDER CONTINUOUS TIME SYSTEM;48
9.1;1. INTRODUCTION;48
9.2;2. THE MODEL AND ITS ESTIMATION;50
9.3;3. AN OPTIMAL FORECASTING ALGORITHM;54
9.4;4 . THE TREATMENT OF EXOGENOUS VARIABLES;57
9.5;5. CONCLUSION;58
9.6;REFERENCES;58
10;CHAPTER 5. TIME-VARYING LINEAR REGRESSION VIA FLEXIBLE LEAST SQUARES;60
10.1;1. INTRODUCTION;60
10.2;2. TIME - VARYING LINEAR REGRESSION PROBLEM;63
10.3;3. FLEXIBLE LEAST SQUARES (FLS);63
10.4;4. THE FLS SOLUTION: MATRIX REPRESENTATION;66
10.5;5. EXACT SEQUENTIAL DERIVATION OF THE FLS SOLUTION;67
10.6;6. FLS AND OLS : A GEOMETRIC COMPARISON;70
10.7;7. REGIME SHIFT: AROBUSTNESS STUDY FOR FLS;71
10.8;8. SIMULATION AND EMPIRICAL STUDIES;73
10.9;9. TOPICS FOR FUTURE RESEARCH;76
10.10;REFERENCES;77
10.11;APPENDIX A;78
10.12;APPENDIX B;82
11;CHAPTER 6. NONSTATIONARY TIME SERIES IDENTIFICATION;92
11.1;1. INTRODUCTION;92
11.2;2. PARAMETER ESTIMATION FOR CONTROLLED TIME SERIES;93
11.3;3. ORDER ESTIMATION FOR CONTROLLED TIME SERIES;97
11.4;4. RELAXATION OF SPR CONDITION;99
11.5;5. IDENTIFICATION OF A CLASS OF NONSTATIONARY ARMA PROCESSES;100
11.6;6. CONCLUSION;102
11.7;REFERENCES;102
12;CHAPTER 7. THE CODING THEOREM AND ORDINARY LEAST-SQUARES MODELS IN ECONOMICS;104
12.1;1. INTRODUCTION;104
12.2;2. THE OLS CHANNEL WITH FEEDBACK;104
12.3;3. OPTIMAL OLS CODES;105
12.4;4. MARKET APPLICATIONS;106
12.5;5. SUMMARY;109
12.6;REFERENCES;109
13;CHAPTER 8. THE INFORMATION TABLEAU OF A LINEAR ALLOCATION MODEL;110
13.1;1. INTRODUCTION;110
13.2;2. THE UNIVARIATE LINEAR REGRESSION MODEL;110
13.3;3. A MULTIVARIATE EXTENSION;111
13.4;4. THE INFORMATION TABLEAU OF A LINEARDEM AND MODEL;111
13.5;REFERENCES;113
14;CHAPTER 9. THE PREJUDICES OF LEAST SQUARES, PRINCIPAL COMPONENTS AND COMMON FACTORS SCHEMES;114
14.1;1. INTRODUCTION;114
14.2;2. LEAST SQUARES SCHEME;115
14.3;3. PRINCIPAL COMPONENTS SCHEME;121
14.4;4. COMMON FACTOR SCHEME;123
14.5;5. CONCLUDINGRE MARKS;127
14.6;REFERENCES;127
15;CHAPTER 10. IDENTIFICATION OF A LINEAR SYSTEM FROM INEXACT DATA: A THREE-VARIABLE EXAMPLE;130
15.1;1. INTRODUCTION;130
15.2;2. GENERAL LINEAR SYSTEM IDENTIFICATION;131
15.3;3. LEAST SQUARES SCHEMES;134
15.4;4. FRISCH AND STATISTICAL COMMON FACTOR SCHEMES;139
15.5;5. A COMPARISON OF THE SOLUTIONS;143
15.6;6. CONCLUDING REMARKS;145
15.7;REFERENCES;145
15.8;APPENDIX A;146
15.9;APPENDIX B;147
16;CHAPTER 11. A SUPERLINEARLY CONVERGENT CONSTRAINED MIN-MAX ALGORITHM FOR RIVAL MODELS OF THE SAME SYSTEM;150
16.1;1. INTRODUCTION;150
16.2;2. THE MIN - MAX PROBLEM AND A SADDLE POINT SOLUTION;153
16.3;3. THE ALGORITHM;155
16.4;4. GLOBAL CONVERGENCE;157
16.5;5. CONVERGENCE TO UNIT STEP SIZES AND THE SUPER LINEAR CONVERGENCE RATE OF THE ALGORITHM;159
16.6;REFERENCES;161
17;CHAPTER 12. COST-BENEFIT ANALYSIS WITH SWITCHING REGIMES:AN APPLICATION OF THE THEORY OF PLANNING;162
17.1;1. INTRODUCTION : PLANNING, SWITCHING REGIMES AND COST-BENEFIT ANALYSIS;162
17.2;2. THE FRAME WORK FOR THE PLANNING PROBLEM;163
17.3;3. OPTIMAL SWITCHING REGIME : THE CASE OF CERTAINTY;165
17.4;4. OPTIMAL SWITCHING REGIME: THE CASE OF UNCERTAINTY;168
17.5;5. AN EXAMPLE OF SWITCHES UNDER UNCERTAINTY;170
17.6;6. OPTIMALSWIT CHINGRE GIME: THE CASE OF LEARNING FROM EXPERIENCE;171
17.7;7. CONCLUSIONS;171
17.8;REFERENCES;172
18;CHAPTER 13. AN INTEGRATED SYSTEM MODEL FOR A FISHERY MANAGEMENT PROCESS—I;174
18.1;1. INTRODUCTION;174
18.2;2. THE ROLE OF MODELING IN THE FISHERY MANAGEMENT DECISION PROCESS;175
18.3;3. MODULES OF FISYS;176
18.4;4. INTEGRATING FRAMEWORK VIA PARTIAL EQUILIBRIUM;181
18.5;5. THE USE OF FISYS IN A FISHERY MANAGEMENT DECISION PROCESS;185
18.6;6. CONCLUDING REMARKS;187
18.7;REFERENCES;188
19;CHAPTER 14. A LATTICE-THEORETIC APPROACH TO A CLASS OF DYNAMIC GAMES;190
19.1;1. INTRODUCTION AND PROBLEM STATEMENT;190
19.2;2. MATHEMATICAL BACKGROUND;191
19.3;3. PROOFS;192
19.4;REFERENCES;194