Notes On Economic Time Series Analysis System Theoretic Perspectives

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Notes on Economic Time Series Analysis: System Theoretic Perspectives

Masanao Aoki
Notes on Economic Time Series Analysis System Theoretic Perspectives Book PDF

Author : Masanao Aoki
Publisher : Springer Science & Business Media
Page : 262 pages
File Size : 41,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783642455650

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Notes on Economic Time Series Analysis: System Theoretic Perspectives by Masanao Aoki Pdf

In seminars and graduate level courses I have had several opportunities to discuss modeling and analysis of time series with economists and economic graduate students during the past several years. These experiences made me aware of a gap between what economic graduate students are taught about vector-valued time series and what is available in recent system literature. Wishing to fill or narrow the gap that I suspect is more widely spread than my personal experiences indicate, I have written these notes to augment and reor ganize materials I have given in these courses and seminars. I have endeavored to present, in as much a self-contained way as practicable, a body of results and techniques in system theory that I judge to be relevant and useful to economists interested in using time series in their research. I have essentially acted as an intermediary and interpreter of system theoretic results and perspectives in time series by filtering out non-essential details, and presenting coherent accounts of what I deem to be important but not readily available, or accessible to economists. For this reason I have excluded from the notes many results on various estimation methods or their statistical properties because they are amply discussed in many standard texts on time series or on statistics.

Analysis of Economic Time Series

Marc Nerlove,David M. Grether,José L. Carvalho
Analysis of Economic Time Series Book PDF

Author : Marc Nerlove,David M. Grether,José L. Carvalho
Publisher : Academic Press
Page : 495 pages
File Size : 41,8 Mb
Release : 2014-05-10
Category : Business & Economics
ISBN : 9781483218885

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Analysis of Economic Time Series by Marc Nerlove,David M. Grether,José L. Carvalho Pdf

Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.

Time Series Techniques for Economists

Terence C. Mills
Time Series Techniques for Economists Book PDF

Author : Terence C. Mills
Publisher : Cambridge University Press
Page : 392 pages
File Size : 49,6 Mb
Release : 1990
Category : Business & Economics
ISBN : 0521405742

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Time Series Techniques for Economists by Terence C. Mills Pdf

The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. In this book, Terence Mills not only brings together recent research at the frontiers of the subject, but also analyses the areas of most importance to applied economics. It is an up-to-date text which extends the basic techniques of analysis to cover the development of methods that can be used to analyse a wide range of economic problems. The book analyses three basic areas of time series analysis: univariate models, multivariate models, and non-linear models. In each case the basic theory is outlined and then extended to cover recent developments. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. This book clearly distinguishes itself from its competitors by emphasising the techniques of time series modelling rather than technical aspects such as estimation, and by the breadth of the models considered. It features many detailed real-world examples using a wide range of actual time series. It will be useful to econometricians and specialists in forecasting and finance and accessible to most practitioners in economics and the allied professions.

System-Theoretic Methods in Economic Modelling I

S. Mittnik
System Theoretic Methods in Economic Modelling I Book PDF

Author : S. Mittnik
Publisher : Elsevier
Page : 194 pages
File Size : 55,6 Mb
Release : 2014-06-28
Category : Business & Economics
ISBN : 9781483296227

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System-Theoretic Methods in Economic Modelling I by S. Mittnik Pdf

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.

Forecasting Economic Time Series

Clive William John Granger,Paul Newbold
Forecasting Economic Time Series Book PDF

Author : Clive William John Granger,Paul Newbold
Publisher : Unknown
Page : 528 pages
File Size : 47,8 Mb
Release : 1977
Category : Business & Economics
ISBN : STANFORD:36105002640683

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Forecasting Economic Time Series by Clive William John Granger,Paul Newbold Pdf

This book has been updated to reflect developments in time series analysis and forecasting theory and practice, particularly as applied to economics. The second edition pays attention to such problems as how to evaluate and compare forecasts.

Social Choice and Bargaining Perspectives on Distributive Justice

Wulf Gaertner,Marlies Klemisch-Ahlert
Social Choice and Bargaining Perspectives on Distributive Justice Book PDF

Author : Wulf Gaertner,Marlies Klemisch-Ahlert
Publisher : Springer Science & Business Media
Page : 142 pages
File Size : 46,8 Mb
Release : 2013-06-29
Category : Business & Economics
ISBN : 9783662028117

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Social Choice and Bargaining Perspectives on Distributive Justice by Wulf Gaertner,Marlies Klemisch-Ahlert Pdf

It is probably fair to say that there does not exist a unique and generally accepted not ion of justice. Even if one confines oneself to economic justice one can still get many answers to the question of how justice - henceforth we shall use the term "distributive justice" should be defined and characterized. This may be disappointing for the outside observer but one can also view this as achallenge, at least as long as one thinks that distributive justice is an issue economics should be concerned with. Many problems of distributive justice can be described as follows: There is a fixed collection of well-defined objects (usually commodi ties) which are quantitatively measurable and perfectly divisible. This collection is to be divided up among a certain number of individuals, the members of society, let 's say. According to which principles or rules should this distribution be carried out? Should people be rewarded according to their ability or according to their needs? Should the distribution be such that nobody envies the bundle of any other member of society? Should the collection of entities be distributed in a way that yields the greatest benefi.

Information Technology: Social and Spatial Perspectives

Isao Orishimo,Geoffrey J.D. Hewings,Peter Nijkamp
Information Technology Social and Spatial Perspectives Book PDF

Author : Isao Orishimo,Geoffrey J.D. Hewings,Peter Nijkamp
Publisher : Springer Science & Business Media
Page : 275 pages
File Size : 53,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642486388

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Information Technology: Social and Spatial Perspectives by Isao Orishimo,Geoffrey J.D. Hewings,Peter Nijkamp Pdf

The book contains perspectives on the way new information technology might reorient the spatial organization of activity. The perspectives range from conceptual, high- lighting the role of research and development to case studies from Japan. Considerable debate is focused on the role of distance and the way in which new information technology might re-shape interaction and, eventually, the form and function of urban areas.

Decision Processes in Economics

Gianni Ricci
Decision Processes in Economics Book PDF

Author : Gianni Ricci
Publisher : Springer Science & Business Media
Page : 217 pages
File Size : 46,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642456862

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Decision Processes in Economics by Gianni Ricci Pdf

This book contains a selection of the papers presented at the symposium on "Decision processes in Economics" which was held in Modena (Italy) on 9-10 October 1989. It coincided with the annual meeting of the italian group on Game Theory; the group is formed by economists, mathematicians, engineers and social scientists. One of the targets of the Meeting, and therefore of the book, is to create an opportunity for having together papers by scientists with an "optimal control" education and papers by theorists on refinement of equilibrium, on repeted games and other topics. These two modes of working on Games are quite different but we think that a unitary approch to Games can be given and this book is an attempt in this direction. Another important and updated issue which is emphisized in the book is the discussion of computation and efficiency of numerical methods in Games. Stochastic differential games are treated in the papers by Basar, Haurie -and Deissemberg. Basar considers a stochastic model of a conflict situation between the monetary policy maker (go vernment) and the responding agent (private sector). Because of asymmetry in the (stochastic) information available the Nash and the Stackelberg games become non standard stochastic diffe rential games. After the discussion of the conditions leading to a solution he provides a numerical example for the proposed game. Haurie considers a game where the observed state changes according to a stochastic jump process.

A Structural Analysis of Expectation Formation

Marc Ivaldi
A Structural Analysis of Expectation Formation Book PDF

Author : Marc Ivaldi
Publisher : Springer Science & Business Media
Page : 245 pages
File Size : 44,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642467356

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A Structural Analysis of Expectation Formation by Marc Ivaldi Pdf

Using panel data of individual firms drawn from French surveys, a structural analysis is developed to study the formation of production plans and the rationality of expectations. The production decision of a firm is defined as the optimal solution of a dynamic stochastic optimization problem. The empirical work amounts to recovering the structural parameters characterizing the model of the firm from estimates of the derived decision rule. The preceding analysis of production plans is based on the assumption that firms are rational. To justify this assumption, direct tests offer evidence that the Rational Expectations Hypothesis may not be rejected for quantity variables.

Essays in Macroeconomics of an Open Economy

Franz Gehrels
Essays in Macroeconomics of an Open Economy Book PDF

Author : Franz Gehrels
Publisher : Springer Science & Business Media
Page : 194 pages
File Size : 55,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642956591

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Essays in Macroeconomics of an Open Economy by Franz Gehrels Pdf

The large aggregates in the economy - consumption, investment, production of the domestic and the international sectors, international capital flows, financial accumulation and indebtedness - are analysed in this book as problems in time-optimisation for enterprises and households. The effects of fiscal and monetary policies along with exchange-rate variation are examined, and their simultaneous use for stabilizing demand are found to be necessary. All household decisions on consumptions, savings, and financial disposition are conditioned by uncertainty, and similarly for firms, who make more complex simultaneous decisions on production, real investment, financing, and market strategy. The marginal efficiency-of-investment function derived from these decisions is fundamentally different from the marginal productivity of capital in the neoclassical sense. An economy which grows through the accumulation of capital, increase in labor supply, and technological progress is the framework in which all of these variables move. This codetermines the allocation of factors between domestic and international production, and the development of foreign trade. The growth both of the public debt and of international investment are treated in depth.

Forecasting Economic Time Series

C. W. J. Granger,Paul Newbold
Forecasting Economic Time Series Book PDF

Author : C. W. J. Granger,Paul Newbold
Publisher : Academic Press
Page : 353 pages
File Size : 41,7 Mb
Release : 2014-05-10
Category : Business & Economics
ISBN : 9781483273242

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Forecasting Economic Time Series by C. W. J. Granger,Paul Newbold Pdf

Economic Theory, Econometrics, and Mathematical Economics, Second Edition: Forecasting Economic Time Series presents the developments in time series analysis and forecasting theory and practice. This book discusses the application of time series procedures in mainstream economic theory and econometric model building. Organized into 10 chapters, this edition begins with an overview of the problem of dealing with time series possessing a deterministic seasonal component. This text then provides a description of time series in terms of models known as the time-domain approach. Other chapters consider an alternative approach, known as spectral or frequency-domain analysis, that often provides useful insights into the properties of a series. This book discusses as well a unified approach to the fitting of linear models to a given time series. The final chapter deals with the main advantage of having a Gaussian series wherein the optimal single series, least-squares forecast will be a linear forecast. This book is a valuable resource for economists.

Economic Evolution and Demographic Change

Günter Haag,Ulrich Mueller,Klaus G. Troitzsch
Economic Evolution and Demographic Change Book PDF

Author : Günter Haag,Ulrich Mueller,Klaus G. Troitzsch
Publisher : Springer Science & Business Media
Page : 424 pages
File Size : 49,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642488085

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Economic Evolution and Demographic Change by Günter Haag,Ulrich Mueller,Klaus G. Troitzsch Pdf

The articles collected in this volume have two features in common: they wantto integrate economics, demography and geography, and they want to overcome the stationary approach in modelling in favour of a dynamic one. The book is subdivided into three parts, where Part I is focussing on economic evolution, Part II on geographical development and Part III is related to demographic change. The present volume aims at providing a new look at this triangle in view of the classical background of discussions by introducing new research ideas focussing in nonlinear dynamics and stochastic modelling. Thus the main purpose of this book is to make a contribution to the interdisciplinary work needed to integrate the effortsbetween these three research fields and to serve as a research source in demonstrating the current state of art in dynamic modelling. The book isaddressed to social scientists in general, and those in particular with a background in economics, geographics and demographics. It should also be of interest to mathematicians, physicists, and systems analysts interested in model building and applications of nonlinear dynamics.

Introductory Optimization Dynamics

P.N.V. Tu
Introductory Optimization Dynamics Book PDF

Author : P.N.V. Tu
Publisher : Springer Science & Business Media
Page : 401 pages
File Size : 53,6 Mb
Release : 2013-11-11
Category : Business & Economics
ISBN : 9783662007198

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Introductory Optimization Dynamics by P.N.V. Tu Pdf

Optimal Control theory has been increasingly used in Economi- and Management Science in the last fifteen years or so. It is now commonplace, even at textbook level. It has been applied to a great many areas of Economics and Management Science, such as Optimal Growth, Optimal Population, Pollution control, Natural Resources, Bioeconomics, Education, International Trade, Monopoly, Oligopoly and Duopoly, Urban and Regional Economics, Arms Race control, Business Finance, Inventory Planning, Marketing, Maintenance and Replacement policy and many others. It is a powerful tool of dynamic optimization. There is no doubt social sciences students should be familiar with this tool, if not for their own research, at least for reading the literature. These Lecture Notes attempt to provide a plain exposition of Optimal Control Theory, with a number of economic examples and applications designed mainly to illustrate the various techniques and point out the wide range of possible applications rather than to treat exhaustively any area of economic theory or policy. Chapters 2,3 and 4 are devoted to the Calculus of Variations, Chapter 5 develops Optimal Control theory from the Variational approach, Chapter 6 deals with the problems of constrained state and control variables , Chapter 7, with Linear Control models and Chapter 8, with stabilization models. Discrete systems are discussed in Chapter 9 and Sensitivity analysis in Chapter 10. Chapter 11 presents a wide range of Economics and Management Science applications.

Regime Transitions, Spillovers and Buffer Stocks

Peter Stalder
Regime Transitions Spillovers and Buffer Stocks Book PDF

Author : Peter Stalder
Publisher : Springer Science & Business Media
Page : 203 pages
File Size : 42,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642467394

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Regime Transitions, Spillovers and Buffer Stocks by Peter Stalder Pdf

This book presents an econometric modeling approach for analysing macroeconomic disequilibria, focusing on the market for goods and labor and the spillovers between these markets transmitted through firms' decisions in the production sphere. The macroeconomic markets are treated as heterogeneous aggregates, consisting of a multitute of micro markets on which demand/supply ratios differ. Disequilibrium models have been under attack because they neglect that inventories enable firms to smooth production over the cycle, but the author argues that buffer stocks (output inventories, unfilled orders) should be accounted for within the disequilibrium framework, giving rise to a dynamic modification rather than a fundamental invalidation of rationing and spillover effects. The model developed in this book combines traditional Keynesian-type analysis with supply-side considerations and at the same time allows for micro-level imbalance. The resulting econometric structure is inherently nonlinear, reflecting that the response of economic activity to demand-side and supply-side factors varies over the cycle, depending on the aggregate mix of regimes. The model is estimated with quarterly data for Switzerland. Various simulation experiments clearly demonstrate the potential of this type of model for empirical business cycle analysis and policy discussions.

Are Policy Variables Exogenous?

Balazs Horvath
Are Policy Variables Exogenous Book PDF

Author : Balazs Horvath
Publisher : Springer Science & Business Media
Page : 180 pages
File Size : 47,9 Mb
Release : 1991-08-28
Category : Business & Economics
ISBN : 3540542876

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Are Policy Variables Exogenous? by Balazs Horvath Pdf

This book explores the econometric implications of a policy-maker's learning. In a simple discrete model the policymaker maximizes the discounted sum of tax revenues subject to a constraint which involves an unknown parameter specifying the occurrence of Bayesian learning. An optimal balance needs to be found between maximizing current payoff and generating information which enhances the efficiency of maximization in subsequent periods. Learning is demonstrated to affect the exogeneity status of policy variables in small samples and to have implications analogous to the phenomenon in the focus of the Lucas critique. Active learning is proven to be a distinct cause of time inconsistency of optimal plane. It is argued that learning cannot be dismissed as a merely transitory source of these phenomena. A simulation exercise supplies quantitative evidence. Finally, the data generated are used to perform empirical exogeneity tests. Results show that the effect of Bayesian learning is empirically detectable. Learning is generally accepted as the driving force towards a rational expectations equilibrium with perfect information. In this context, the result on the loss of exogeneity of policy variables is an out-of-equilibrium econometric implication of the rational expectations hypothesis. This book is the first to explore the effect of an informational feedback on exogeneity.