System-theoretic methods in economic modelling. I /

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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-theoreti...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Mittnik, S. (Editor ), Rodin, E. Y. (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford : Pergamon Press, 1989.
Colección:International series in modern applied mathematics and computer science ; v. 19.
Temas:
Econometric models.
Mod�eles �econom�etriques.
BUSINESS & ECONOMICS > Economics > General.
BUSINESS & ECONOMICS > Reference.
Econometric models
Systeemtheorie.
Economische modellen.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Front Cover; System-Theoretic Methods in Economic Modelling I; Copyright Page; Table of Contents; PREFACE; CHAPTER 1. A TWO-STEP STATE SPACE TIME SERIES MODELING METHOD; 1. INTRODUCTION; 2. DYNAMIC AGGREGATION; 3. MODELING PROCEDURE; 4. DECOMPOSITION INTO TRENDS AND CYCLICAL COMPONENTS; 5. EXAMPLES; 6. CONCLUDING REMARKS; REFERENCES; APPENDIX; CHAPTER 2. SYSTEM THEORETIC TIME SERIES: AN APPLICATIONTO INVENTORIES AND PRICES OF CALIFORNIA RANGE CATTLE; 1. INTRODUCTION; 2. SYSTEM THE ORETIC TIME SERIES (STTS): A BRIEF OVER VIEW OF THE PROCEDURE; 3. THE BEEF MODEL; 4. CONCLUSION; REFERENCES
  • CHAPTER 3. MULTIVARIATE TIME SERIES ANALYSIS WITHSTATE SPACE MODELS1. INTRODUCTION; 2. ESTIMATION OF SYSTEM MATRICES FOR AUTOREGRESSIVE PROCESSES; 3. AUTOREGRESSIVE PROCESSES WITH EXOGENOUS VARIABLES; 4. EXTENSION TO AUTOREGRESSIVE MOVING AVERAGE PROCESSES; 5. CONCLUDING REMARKS; REFERENCES; CHAPTER 4. OPTIMAL FORECASTING OF DISCRETE STOCK AND FLOW DATA GENERATED BY A HIGHER ORDER CONTINUOUS TIME SYSTEM; 1. INTRODUCTION; 2. THE MODEL AND ITS ESTIMATION; 3. AN OPTIMAL FORECASTING ALGORITHM; 4 . THE TREATMENT OF EXOGENOUS VARIABLES; 5. CONCLUSION; REFERENCES
  • CHAPTER 5. TIME-VARYING LINEAR REGRESSION VIA FLEXIBLE LEAST SQUARES1. INTRODUCTION; 2. TIME
  • VARYING LINEAR REGRESSION PROBLEM; 3. FLEXIBLE LEAST SQUARES (FLS); 4. THE FLS SOLUTION: MATRIX REPRESENTATION; 5. EXACT SEQUENTIAL DERIVATION OF THE FLS SOLUTION; 6. FLS AND OLS : A GEOMETRIC COMPARISON; 7. REGIME SHIFT: AROBUSTNESS STUDY FOR FLS; 8. SIMULATION AND EMPIRICAL STUDIES; 9. TOPICS FOR FUTURE RESEARCH; REFERENCES; APPENDIX A; APPENDIX B; CHAPTER 6. NONSTATIONARY TIME SERIES IDENTIFICATION; 1. INTRODUCTION; 2. PARAMETER ESTIMATION FOR CONTROLLED TIME SERIES
  • 3. ORDER ESTIMATION FOR CONTROLLED TIME SERIES4. RELAXATION OF SPR CONDITION; 5. IDENTIFICATION OF A CLASS OF NONSTATIONARY ARMA PROCESSES; 6. CONCLUSION; REFERENCES; CHAPTER 7. THE CODING THEOREM AND ORDINARY LEAST-SQUARES MODELS IN ECONOMICS; 1. INTRODUCTION; 2. THE OLS CHANNEL WITH FEEDBACK; 3. OPTIMAL OLS CODES; 4. MARKET APPLICATIONS; 5. SUMMARY; REFERENCES; CHAPTER 8. THE INFORMATION TABLEAU OF A LINEAR ALLOCATION MODEL; 1. INTRODUCTION; 2. THE UNIVARIATE LINEAR REGRESSION MODEL; 3. A MULTIVARIATE EXTENSION; 4. THE INFORMATION TABLEAU OF A LINEARDEM AND MODEL; REFERENCES
  • CHAPTER 9. THE PREJUDICES OF LEAST SQUARES, PRINCIPAL COMPONENTS AND COMMON FACTORS SCHEMES1. INTRODUCTION; 2. LEAST SQUARES SCHEME; 3. PRINCIPAL COMPONENTS SCHEME; 4. COMMON FACTOR SCHEME; 5. CONCLUDINGRE MARKS; REFERENCES; CHAPTER 10. IDENTIFICATION OF A LINEAR SYSTEM FROM INEXACT DATA: A THREE-VARIABLE EXAMPLE; 1. INTRODUCTION; 2. GENERAL LINEAR SYSTEM IDENTIFICATION; 3. LEAST SQUARES SCHEMES; 4. FRISCH AND STATISTICAL COMMON FACTOR SCHEMES; 5. A COMPARISON OF THE SOLUTIONS; 6. CONCLUDING REMARKS; REFERENCES; APPENDIX A; APPENDIX B

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