System-Theoretic Methods in Economic Modelling II

System-Theoretic Methods in Economic Modelling II
Author: S. Mittnik
Publisher: Elsevier
Total Pages: 219
Release: 2014-06-28
Genre: Mathematics
ISBN: 1483296237

System-Theoretic Methods in Economic Modelling II complements the editor's earlier volume, bringing together current research efforts integrating system-theoretic concepts with economic modelling processes. The range of papers presented here goes beyond the long-accepted control-theoretic contributions in dynamic optimization and focuses on system-theoretic methods in the construction as well as the application stages of economic modelling. This volume initiates new and intensifies existing debate between researchers and practitioners within and across the disciplines involved, with the objective of encouraging interdisciplinary research. The papers are split into four sections - estimation, filtering and smoothing problems in the context of state space modelling; applying the state space concept to financial modelling; modelling rational expectation; and a miscellaneous section including a follow-up case study by Tse and Khilnani on their integrated system model for a fishery management process, which featured in the first volume.

Structural Macroeconometrics

Structural Macroeconometrics
Author: David N. DeJong
Publisher: Princeton University Press
Total Pages: 435
Release: 2011-10-03
Genre: Business & Economics
ISBN: 1400840503

The revised edition of the essential resource on macroeconometrics Structural Macroeconometrics provides a thorough overview and in-depth exploration of methodologies, models, and techniques used to analyze forces shaping national economies. In this thoroughly revised second edition, David DeJong and Chetan Dave emphasize time series econometrics and unite theoretical and empirical research, while taking into account important new advances in the field. The authors detail strategies for solving dynamic structural models and present the full range of methods for characterizing and evaluating empirical implications, including calibration exercises, method-of-moment procedures, and likelihood-based procedures, both classical and Bayesian. The authors look at recent strides that have been made to enhance numerical efficiency, consider the expanded applicability of dynamic factor models, and examine the use of alternative assumptions involving learning and rational inattention on the part of decision makers. The treatment of methodologies for obtaining nonlinear model representations has been expanded, and linear and nonlinear model representations are integrated throughout the text. The book offers a rich array of implementation algorithms, sample empirical applications, and supporting computer code. Structural Macroeconometrics is the ideal textbook for graduate students seeking an introduction to macroeconomics and econometrics, and for advanced students pursuing applied research in macroeconomics. The book's historical perspective, along with its broad presentation of alternative methodologies, makes it an indispensable resource for academics and professionals.

Rational Expectations Econometrics

Rational Expectations Econometrics
Author: Lars Peter Hansen
Publisher: CRC Press
Total Pages: 306
Release: 2019-09-05
Genre: Mathematics
ISBN: 1000308960

At the core of the rational expectations revolution is the insight that economic policy does not operate independently of economic agents' knowledge of that policy and their expectations of the effects of that policy. This means that there are very complicated feedback relationships existing between policy and the behaviour of economic agents, and these relationships pose very difficult problems in econometrics when one tries to exploit the rational expectations insight in formal economic modelling. This volume consists of work by two rational expectations pioneers dealing with the "nuts and bolts" problems of modelling the complications introduced by rational expectations. Each paper deals with aspects of the problem of making inferences about parameters of a dynamic economic model on the basis of time series observations. Each exploits restrictions on an econometric model imposed by the hypothesis that agents within the model have rational expectations.

Robustness

Robustness
Author: Lars Peter Hansen
Publisher: Princeton University Press
Total Pages: 453
Release: 2016-06-28
Genre: Business & Economics
ISBN: 0691170975

The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.

IMF Staff papers

IMF Staff papers
Author: International Monetary Fund. Research Dept.
Publisher: International Monetary Fund
Total Pages: 196
Release: 1988-01-01
Genre: Business & Economics
ISBN: 145194702X

It has been argued that “buy-backs” and “debt-equity swaps” allow developing countries to benefit from market discounts on their external debt. It is argued here, however, that if such programs are expected to be successful in increasing the market value of remaining debt, they also lead to a roughly equivalent increase in prices at which a buy-back or debt-equity swap could be carried out.

Handbook of Macroeconomics

Handbook of Macroeconomics
Author: John B. Taylor
Publisher: North Holland
Total Pages: 596
Release: 1999-12-13
Genre: Business & Economics
ISBN:

This text aims to provide a survey of the state of knowledge in the broad area that includes the theories and facts of economic growth and economic fluctuations, as well as the consequences of monetary and fiscal policies for general economic conditions.