Dynamic Nonlinear Econometric Models
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Dynamic Nonlinear Econometric Models
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Author : Benedikt M. Pötscher
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Dynamic Nonlinear Econometric Models written by Benedikt M. Pötscher and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Business & Economics categories.
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.
Nonlinear Econometric Modeling In Time Series
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Author : William A. Barnett
language : en
Publisher: Cambridge University Press
Release Date : 2000-05-22
Nonlinear Econometric Modeling In Time Series written by William A. Barnett and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-05-22 with Business & Economics categories.
Nonlinear Econometric Modeling in Time Series presents the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference and error-correction models. With a world-class panel of contributors, this volume addresses topics with major applications for fields such as foreign-exchange markets and interest rate analysis. Eleventh in this series of international symposia, this volume is also part of the European Conference Series in Quantitative Economics and Econometrics (EC)2.
Modern Linear And Nonlinear Econometrics
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Author : Joseph Plasmans
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-08-30
Modern Linear And Nonlinear Econometrics written by Joseph Plasmans and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-08-30 with Business & Economics categories.
The basic characteristic of Modern Linear and Nonlinear Econometrics is that it presents a unified approach of modern linear and nonlinear econometrics in a concise and intuitive way. It covers four major parts of modern econometrics: linear and nonlinear estimation and testing, time series analysis, models with categorical and limited dependent variables, and, finally, a thorough analysis of linear and nonlinear panel data modeling. Distinctive features of this handbook are: -A unified approach of both linear and nonlinear econometrics, with an integration of the theory and the practice in modern econometrics. Emphasis on sound theoretical and empirical relevance and intuition. Focus on econometric and statistical methods for the analysis of linear and nonlinear processes in economics and finance, including computational methods and numerical tools. -Completely worked out empirical illustrations are provided throughout, the macroeconomic and microeconomic (household and firm level) data sets of which are available from the internet; these empirical illustrations are taken from finance (e.g. CAPM and derivatives), international economics (e.g. exchange rates), innovation economics (e.g. patenting), business cycle analysis, monetary economics, housing economics, labor and educational economics (e.g. demand for teachers according to gender) and many others. -Exercises are added to the chapters, with a focus on the interpretation of results; several of these exercises involve the use of actual data that are typical for current empirical work and that are made available on the internet. What is also distinguishable in Modern Linear and Nonlinear Econometrics is that every major topic has a number of examples, exercises or case studies. By this `learning by doing' method the intention is to prepare the reader to be able to design, develop and successfully finish his or her own research and/or solve real world problems.
Nonlinear Models For Economic Decision Processes
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Author : Ionut Purica
language : en
Publisher: World Scientific
Release Date : 2010
Nonlinear Models For Economic Decision Processes written by Ionut Purica and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
Using models, developed in one branch of science, to describe similar behaviors encountered in a different one, is the essence of a synergetic approach. A wide range of topics has been developed including Agent-based models, econophysics, socio-economic networks, information, bounded rationality and learning in economics, markets as complex adaptive systems evolutionary economics, multiscale analysis and modeling, nonlinear dynamics and econometrics, physics of risk, statistical and probabilistic methods in economics and finance. Complexity. This publication concentrates on process behavior of economic systems and building models that stem from Haken's, Prigogine's, Taylor's work as well as from nuclear physics models.
Nonlinear Dynamics In Economics
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Author : Bärbel Finkenstädt
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Nonlinear Dynamics In Economics written by Bärbel Finkenstädt and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
1. 1 Introduction In economics, one often observes time series that exhibit different patterns of qualitative behavior, both regular and irregular, symmetric and asymmetric. There exist two different perspectives to explain this kind of behavior within the framework of a dynamical model. The traditional belief is that the time evolution of the series can be explained by a linear dynamic model that is exogenously disturbed by a stochastic process. In that case, the observed irregular behavior is explained by the influence of external random shocks which do not necessarily have an economic reason. A more recent theory has evolved in economics that attributes the patterns of change in economic time series to an underlying nonlinear structure, which means that fluctua tions can as well be caused endogenously by the influence of market forces, preference relations, or technological progress. One of the main reasons why nonlinear dynamic models are so interesting to economists is that they are able to produce a great variety of possible dynamic outcomes - from regular predictable behavior to the most complex irregular behavior - rich enough to meet the economists' objectives of modeling. The traditional linear models can only capture a limited number of possi ble dynamic phenomena, which are basically convergence to an equilibrium point, steady oscillations, and unbounded divergence. In any case, for a lin ear system one can write down exactly the solutions to a set of differential or difference equations and classify them.
Nonlinear Economic Dynamics And Financial Modelling
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Author : Roberto Dieci
language : en
Publisher: Springer
Release Date : 2014-07-26
Nonlinear Economic Dynamics And Financial Modelling written by Roberto Dieci and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-26 with Business & Economics categories.
This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Nonlinear Dynamical Economics And Chaotic Motion
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Author : Hans-Walter Lorenz
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Nonlinear Dynamical Economics And Chaotic Motion written by Hans-Walter Lorenz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
Usually, the first edition of a book still contains a multiplicity of typographic, con ceptional, and computational errors even if one believes the opposite at the time of publication. As this book did not represent a counterexample to this rule, the current second edition offers a chance to remove at least the known shortcomings. The book has been partly re-organized. The previously rather long Chapter 4 has been split into two separate chapters dealing with discrete-time and continuous time approaches to nonlinear economic dynamics. The short summary of basic properties of linear dynamical systems has been banned to an appendix because the line of thought in the chapter seems to have been unnecessarily interrupted by these technical details and because the book concentrates on nonlinear systems. This appendix, which mainly deals with special formal properties of dynamical sys tems, also contains some new material on invariant subspaces and center-manifold reductions. A brief introduction into the theory of lags and operators is followed by a few remarks on the relation between the 'true' properties of dynamical systems and their behavior observable in numerical experiments. Additional changes in the main part of the book include a re-consideration of Popper's determinism vs. inde terminism discussion in the light of chaotic properties of deterministic, nonlinear systems in Chapter 1. An investigation of a simultaneous price-quantity adjustment process, a more detailed inquiry into the uniqueness property of limit cycles, and a short presentation of relaxation oscillations are included in Chapter 2.
Nonlinearities In Economics
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Author : Giuseppe Orlando
language : en
Publisher: Springer Nature
Release Date : 2021-08-31
Nonlinearities In Economics written by Giuseppe Orlando and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-31 with Business & Economics categories.
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.
Price Dynamics In Equilibrium Models
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Author : Jan Tuinstra
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Price Dynamics In Equilibrium Models written by Jan Tuinstra and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
A long-standing unsolved problem in economic theory is how economic equilibria are attained. Price Dynamics in Equilibrium Models: The Search for Equilibrium and the Emergence of Endogenous Fluctuations considers a number of adjustment processes in different economic models and investigates their dynamical behaviour. Two important themes arising in this context are `bounded rationality' and `nonlinear dynamics'. Important sub-themes of the book are the following: how do boundedly rational agents interact with their environment and does this interaction in some sense lead to rational outcomes (which may or may not correspond to equilibria)? The second sub-theme deals with the consequences of the nonlinear dynamical nature of many adjustment processes. The results presented in this volume indicate that endogenous fluctuations are the rule rather than the exception in the search for equilibrium. The book uses the theory of nonlinear dynamics to analyze the dynamics of the different economic models. Due to the complexity of most of the models, an important role is played by computational methods. In particular, at regular instances the models are analyzed by numerical simulations and some computer-assisted proofs are provided. It also covers a wide range of dynamical models from economic theory. Most of these models merge the theory of nonlinear economic dynamics with the theory of bounded rationality. The book is written for anyone with an interest in economic theory in general and bounded rationality and endogenous fluctuations in particular. It is entirely self-contained and accessible to readers with only a limited knowledge of economic theory.
Nonlinear Dynamics In Equilibrium Models
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Author : John Stachurski
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-01-25
Nonlinear Dynamics In Equilibrium Models written by John Stachurski and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-25 with Business & Economics categories.
Optimal growth theory studies the problem of efficient resource allocation over time, a fundamental concern of economic research. Since the 1970s, the techniques of nonlinear dynamical systems have become a vital tool in optimal growth theory, illuminating dynamics and demonstrating the possibility of endogenous economic fluctuations. Kazuo Nishimura's seminal contributions on business cycles, chaotic equilibria and indeterminacy have been central to this development, transforming our understanding of economic growth, cycles, and the relationship between them. The subjects of Kazuo's analysis remain of fundamental importance to modern economic theory. This book collects his major contributions in a single volume. Kazuo Nishimura has been recognized for his contributions to economic theory on many occasions, being elected fellow of the Econometric Society and serving as an editor of several major journals. Chapter “Introduction” is available open access under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License via link.springer.com.