Advances in Non-linear Economic Modeling

Advances in Non-linear Economic Modeling
Author: Frauke Schleer-van Gellecom
Publisher: Springer Science & Business Media
Total Pages: 268
Release: 2013-12-11
Genre: Business & Economics
ISBN: 3642420397

In recent years nonlinearities have gained increasing importance in economic and econometric research, particularly after the financial crisis and the economic downturn after 2007. This book contains theoretical, computational and empirical papers that incorporate nonlinearities in econometric models and apply them to real economic problems. It intends to serve as an inspiration for researchers to take potential nonlinearities in account. Researchers should be aware of applying linear model-types spuriously to problems which include non-linear features. It is indispensable to use the correct model type in order to avoid biased recommendations for economic policy.

Dynamic Nonlinear Econometric Models

Dynamic Nonlinear Econometric Models
Author: Benedikt M. Pötscher
Publisher: Springer Science & Business Media
Total Pages: 307
Release: 2013-03-09
Genre: Business & Economics
ISBN: 3662034867

Many relationships in economics, and also in other fields, are both dynamic and nonlinear. A major advance in econometrics over the last fifteen years has been the development of a theory of estimation and inference for dy namic nonlinear models. This advance was accompanied by improvements in computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Pötscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men tioned articles a number of then new results. One example is a consis tency result for the case where the identifiable uniqueness condition fails.

Optimization in Economics and Finance

Optimization in Economics and Finance
Author: Bruce D. Craven
Publisher: Springer Science & Business Media
Total Pages: 174
Release: 2005-10-24
Genre: Business & Economics
ISBN: 0387242805

Some recent developments in the mathematics of optimization, including the concepts of invexity and quasimax, have not yet been applied to models of economic growth, and to finance and investment. Their applications to these areas are shown in this book.

Nonlinearities in Economics

Nonlinearities in Economics
Author: Giuseppe Orlando
Publisher: Springer Nature
Total Pages: 361
Release: 2021-08-31
Genre: Business & Economics
ISBN: 3030709825

This interdisciplinary book argues that the economy has an underlying non-linear structure and that business cycles are endogenous, which allows a greater explanatory power with respect to the traditional assumption that dynamics are stochastic and shocks are exogenous. The first part of this work is formal-methodological and provides the mathematical background needed for the remainder, while the second part presents the view that signal processing involves construction and deconstruction of information and that the efficacy of this process can be measured. The third part focuses on economics and provides the related background and literature on economic dynamics and the fourth part is devoted to new perspectives in understanding nonlinearities in economic dynamics: growth and cycles. By pursuing this approach, the book seeks to (1) determine whether, and if so where, common features exist, (2) discover some hidden features of economic dynamics, and (3) highlight specific indicators of structural changes in time series. Accordingly, it is a must read for everyone interested in a better understanding of economic dynamics, business cycles, econometrics and complex systems, as well as non-linear dynamics and chaos theory.

Non-Linear Time Series Models in Empirical Finance

Non-Linear Time Series Models in Empirical Finance
Author: Philip Hans Franses
Publisher: Cambridge University Press
Total Pages: 299
Release: 2000-07-27
Genre: Business & Economics
ISBN: 0521770416

This 2000 volume reviews non-linear time series models, and their applications to financial markets.

Economic Modeling Using Artificial Intelligence Methods

Economic Modeling Using Artificial Intelligence Methods
Author: Tshilidzi Marwala
Publisher: Springer Science & Business Media
Total Pages: 271
Release: 2013-04-02
Genre: Computers
ISBN: 1447150104

Economic Modeling Using Artificial Intelligence Methods examines the application of artificial intelligence methods to model economic data. Traditionally, economic modeling has been modeled in the linear domain where the principles of superposition are valid. The application of artificial intelligence for economic modeling allows for a flexible multi-order non-linear modeling. In addition, game theory has largely been applied in economic modeling. However, the inherent limitation of game theory when dealing with many player games encourages the use of multi-agent systems for modeling economic phenomena. The artificial intelligence techniques used to model economic data include: multi-layer perceptron neural networks radial basis functions support vector machines rough sets genetic algorithm particle swarm optimization simulated annealing multi-agent system incremental learning fuzzy networks Signal processing techniques are explored to analyze economic data, and these techniques are the time domain methods, time-frequency domain methods and fractals dimension approaches. Interesting economic problems such as causality versus correlation, simulating the stock market, modeling and controling inflation, option pricing, modeling economic growth as well as portfolio optimization are examined. The relationship between economic dependency and interstate conflict is explored, and knowledge on how economics is useful to foster peace – and vice versa – is investigated. Economic Modeling Using Artificial Intelligence Methods deals with the issue of causality in the non-linear domain and applies the automatic relevance determination, the evidence framework, Bayesian approach and Granger causality to understand causality and correlation. Economic Modeling Using Artificial Intelligence Methods makes an important contribution to the area of econometrics, and is a valuable source of reference for graduate students, researchers and financial practitioners.

Recent Advances in Estimating Nonlinear Models

Recent Advances in Estimating Nonlinear Models
Author: Jun Ma
Publisher: Springer Science & Business Media
Total Pages: 308
Release: 2013-09-24
Genre: Business & Economics
ISBN: 1461480604

Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics. Incorporating these concepts involves deriving and estimating nonlinear time series models, and these have typically taken the form of Threshold Autoregression (TAR) models, Exponential Smooth Transition (ESTAR) models, and Markov Switching (MS) models, among several others. This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. It features cutting-edge research from leading academics in economics, finance, and business management, and will focus on such topics as Zero-Information-Limit-Conditions, using Markov Switching Models to analyze economics series, and how best to distinguish between competing nonlinear models. Principles and techniques in this book will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.

Advanced Econometrics

Advanced Econometrics
Author: Takeshi Amemiya
Publisher: Harvard University Press
Total Pages: 540
Release: 1985-11-07
Genre: Business & Economics
ISBN: 0674251954

Advanced Econometrics is both a comprehensive text for graduate students and a reference work for econometricians. It will also be valuable to those doing statistical analysis in the other social sciences. Its main features are a thorough treatment of cross-section models, including qualitative response models, censored and truncated regression models, and Markov and duration models, as well as a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models. Although the treatment is mathematically rigorous, the author has employed the theorem-proof method with simple, intuitively accessible assumptions. This enables readers to understand the basic structure of each theorem and to generalize it for themselves depending on their needs and abilities. Many simple applications of theorems are given either in the form of examples in the text or as exercises at the end of each chapter in order to demonstrate their essential points.

Nonlinear Econometric Modeling in Time Series

Nonlinear Econometric Modeling in Time Series
Author: William A. Barnett
Publisher: Cambridge University Press
Total Pages: 248
Release: 2000-05-22
Genre: Business & Economics
ISBN: 9780521594240

This book presents some of the more recent developments in nonlinear time series, including Bayesian analysis and cointegration tests.