System-Theoretic Methods in Economic Modelling, Volume 1
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.
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S Mittnik vii Preface
R Kalaba and 1215 Timevarying linear regression via flexible least squares
H Theil and C F Chung 1265 The information tableau of a linear allocation model
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algorithm Aoki applied approximation ARMA process assumed assumption autocorrelations autocovariances autoregressive coefficient vectors column common factor scheme computed constraints convergence correlation covariance matrix data covariance matrix decomposition defined denote diagonal econometric economic eigenvalues elements equilibrium example exogenous variables factor analysis fish FISYS FLS estimates forecasts Frisch scheme full rank given Hankel matrix Havenner identification scheme implies incompatibility cost function inexact data Kalman least squares scheme Lemma linear regression mathematical maximum likelihood method min-max minimization noise nonlinear nuclear observations obtained OLS solution optimal paper planner planning principal components problem procedure Proof recurrence relation regressand regressors residual covariance matrix residual efficiency frontier Riccati equation sample satisfied Section sequence simultaneous equation singular value decomposition singular values space models specific squared residual statistical common factor stochastic stock and flow switching regime Theorem theory Wilson's inequality zero