System-theoretic methods in economic modelling
著者
書誌事項
System-theoretic methods in economic modelling
（International series in modern applied mathematics and computer science, v. 19,
Pergamon Press, 1989
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- 2
- タイトル別名
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Economic modelling
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注記
Special issues of the journal Computers & mathematics with applications, v. 17, no. 8/9 and v. 18, no. 6/7.
Includes bibliographical references
内容説明・目次
- 巻冊次
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1 ISBN 9780080372280
内容説明
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.
目次
- Preface, S Mittnik. A two-step state space time series modeling method, M Aoki. System theoretic time series: an application to inventories and prices of California range cattle, A M Havenner & K R Cridd
- e. Multivariate time series analysis with state space models, S Mittnik. Optimal forecasting of discrete stock and flow data generated by a higher order continuous time system, A R Bergstrom. Time-varying linear regression via flexible least squares, R Kalaba & L Tesfats
- on. Nonstationary time series identification, H-F Chen & L Guo. Th
- coding theorem and ordinary least-squares models in economics, W D O'Neill. The information tableau of a linear allocation model, H Theil & C-F Chung
- The prejudices of least squares, principal components and common factors schemes, C A Los. Identification of a linear system from inexact data: a three-variable example, C A Los. A superlinearly convergent constrained min-max algorithm for rival models of the same system, B Rustem. Cost-benefit analysis with switching regimes: an application of the theory of planning, E Sheshinski & M D Intri
- igator. An integrated system model for fishery management process--I. Model structure, E Tse & A Khilnan
- . A lattice-theoretic approach to a class of dynamic games, R Amir.
- 巻冊次
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2 ISBN 9780080379326
内容説明
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.
目次
Preface, S Mittnik. A systems approach to recursive economic forecasting and seasonal adjustment, P Young et al. Non-Gaussian seasonal adjustment, G Kitagawa. Filtering and smoothing algorithms for state space models, R Kohn & C F Ansley. State-space approximation of multi-input multi-output systems with stochastic exogenous inputs, P W Otter & R van Dal. Analytic derivatives for estimation of linear dynamic models, P A Zadrozny. A state space model of the economic fundamentals, R Craine & D Bowman. A dynamic view of the portfolio efficiency frontier, J K Sengupta. State space methods in asset pricing, M Cerchi. Some thoughts on rational expectations models, and alternate formulations, T Basar. The solution of dynamic linear rational expectations models, F X Diebold. Controllability of economic systems under alternative expectations hypotheses - the discrete case, H Kuhn & H-W Wohltmann. Extensions of linearisation to large econometric models with rational expectations, N M Christodoulakis. Remarks on equilibrium state achievement in state space control, V Strejc. Optimal feedback stabilization policy with asymmetric loss functions, P Jain & Maheshwari. Globally optimal paths in the nonclassical growth model, R Amir. An integrated system model for a fishery management process-II. A case study, E Tse & A Khilnani.
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