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Author : P. A. V. B. Swamy
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.3/5 ( download)
Download or read book The Stochastic Coefficients Approach to Econometric Modelling written by P. A. V. B. Swamy and published by . This book was released on 1988 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : P. A. V. B. Swamy
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (194 download)
Download or read book The Stochastic Coefficients Approach to Econometric Modeling written by P. A. V. B. Swamy and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : P. A. V. B. Swamy
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (184 download)
Download or read book The Stochastic Coefficients Approach to Econometric Modeling written by P. A. V. B. Swamy and published by . This book was released on 1988 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : P. A. V. B. Swamy
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.3/5 ( download)
Download or read book The Stochastic Coefficients Approach to Econometric Modeling written by P. A. V. B. Swamy and published by . This book was released on 1988 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : P.A.V.B. SWAMY
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book THE STOCHASTIC COEFFICIENTS APPROACH TO ECONOMETRIC MODELING PART I: A CRITIQUE OF FIXED COEFFICIENTS MODELS written by P.A.V.B. SWAMY and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (14 download)
Download or read book Stochastic Coefficients Approach to Econometric Modeling: Part 1: a Critique of Fixed Coefficients Models written by and published by . This book was released on 1988 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : P.A.V.B. Swamy
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (92 download)
Download or read book The Stochastic Coefficients Approach to Econometric Modeling, Part 3 written by P.A.V.B. Swamy and published by . This book was released on 1988 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Wolters
Publisher : Springer Science & Business Media
ISBN 13 : 3642953794
Total Pages : 163 pages
Book Rating : 4.6/5 (429 download)
Download or read book Stochastic Dynamic Properties of Linear Econometric Models written by J. Wolters and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : S. Holly
Publisher : Springer
ISBN 13 : 134916092X
Total Pages : 310 pages
Book Rating : 4.3/5 (491 download)
Download or read book Optimal Control for Econometric Models written by S. Holly and published by Springer. This book was released on 1979-06-13 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jati Sengupta
Publisher : Springer Science & Business Media
ISBN 13 : 9401730857
Total Pages : 381 pages
Book Rating : 4.4/5 (17 download)
Download or read book Stochastic Optimization and Economic Models written by Jati Sengupta and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the main applied aspects of stochas tic optimization in economic models. Stochastic processes and control theory are used under optimization to illustrate the various economic implications of optimal decision rules. Unlike econometrics which deals with estimation, this book emphasizes the decision-theoretic basis of uncertainty specified by the stochastic point of view. Methods of ap plied stochastic control using stochastic processes have now reached an exciti~g phase, where several disciplines like systems engineering, operations research and natural reso- ces interact along with the conventional fields such as mathematical economics, finance and control systems. Our objective is to present a critical overview of this broad terrain from a multidisciplinary viewpoint. In this attempt we have at times stressed viewpoints other than the purely economic one. We believe that the economist would find it most profitable to learn from the other disciplines where stochastic optimization has been successfully applied. It is in this spirit that we have discussed in some detail the following major areas: A. Portfolio models in ·:finance, B. Differential games under uncertainty, c. Self-tuning regulators, D. Models of renewable resources under uncertainty, and ix x PREFACE E. Nonparametric methods of efficiency measurement. Stochastic processes are now increasingly used in economic models to understand the various adaptive behavior implicit in the formulation of expectation and its application in decision rules which are optimum in some sense.
Author : David F. Hendry
Publisher : Princeton University Press
ISBN 13 : 1400845653
Total Pages : 378 pages
Book Rating : 4.4/5 (8 download)
Download or read book Econometric Modeling written by David F. Hendry and published by Princeton University Press. This book was released on 2012-06-21 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.
Author : Michael D. Intriligator
Publisher : Prentice Hall
ISBN 13 : 9780132232555
Total Pages : 638 pages
Book Rating : 4.2/5 (325 download)
Download or read book Econometric Models, Techniques, and Applications written by Michael D. Intriligator and published by Prentice Hall. This book was released on 1978 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt: The econometric approach; Models and econometric models; Single-equation estimation; Application of single-equation estimationl Simultaneous equations; The uses of econometrics.
Author : I-Lok Chang
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.3/5 ( download)
Download or read book Efficient Computation of Stochastic Coefficients Models written by I-Lok Chang and published by . This book was released on 1990 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jitka Dupacova
Publisher : Springer Science & Business Media
ISBN 13 : 0306481677
Total Pages : 394 pages
Book Rating : 4.3/5 (64 download)
Download or read book Stochastic Modeling in Economics and Finance written by Jitka Dupacova and published by Springer Science & Business Media. This book was released on 2005-12-30 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study.
Author : Mark Davis
Publisher : Springer Science & Business Media
ISBN 13 : 940094828X
Total Pages : 405 pages
Book Rating : 4.4/5 (9 download)
Download or read book Stochastic Modelling and Control written by Mark Davis and published by Springer Science & Business Media. This book was released on 2013-03-08 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to provide a unified treatment of input/output modelling and of control for discrete-time dynamical systems subject to random disturbances. The results presented are of wide applica bility in control engineering, operations research, econometric modelling and many other areas. There are two distinct approaches to mathematical modelling of physical systems: a direct analysis of the physical mechanisms that comprise the process, or a 'black box' approach based on analysis of input/output data. The second approach is adopted here, although of course the properties ofthe models we study, which within the limits of linearity are very general, are also relevant to the behaviour of systems represented by such models, however they are arrived at. The type of system we are interested in is a discrete-time or sampled-data system where the relation between input and output is (at least approximately) linear and where additive random dis turbances are also present, so that the behaviour of the system must be investigated by statistical methods. After a preliminary chapter summarizing elements of probability and linear system theory, we introduce in Chapter 2 some general linear stochastic models, both in input/output and state-space form. Chapter 3 concerns filtering theory: estimation of the state of a dynamical system from noisy observations. As well as being an important topic in its own right, filtering theory provides the link, via the so-called innovations representation, between input/output models (as identified by data analysis) and state-space models, as required for much contemporary control theory.
Author : Gerhard Tintner
Publisher : Elsevier
ISBN 13 : 1483274020
Total Pages : 328 pages
Book Rating : 4.4/5 (832 download)
Download or read book Stochastic Economics written by Gerhard Tintner and published by Elsevier. This book was released on 2014-05-10 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Economics: Stochastic Processes, Control, and Programming presents some aspects of economics from a stochastic or probabilistic point of view. The application of stochastic processes to the theory of economic development, stochastic control theory, and various aspects of stochastic programming is discussed. Comprised of four chapters, this book begins with a short survey of the stochastic view in economics, followed by a discussion on discrete and continuous stochastic models of economic development. The next chapter focuses on methods of stochastic control and their application to dynamic economic models, with emphasis on those aspects connected especially with the theory of quantitative economic policy. Some basic operational problems of applying stochastic control, particularly in economic systems and organizations for problems such as dynamic resource allocation, growth planning, and economic coordination are considered. The last chapter is devoted to stochastic programming, paying particular attention to the decision rule theory of operations research under the chance-constrained model and a method of incorporating reliability measures into a systems reliability model. This book will be of interest to economists, statisticians, applied mathematicians, operations researchers, and systems engineers.
Author : S.D. Gerking
Publisher : Springer Science & Business Media
ISBN 13 : 1461343623
Total Pages : 98 pages
Book Rating : 4.4/5 (613 download)
Download or read book Estimation of stochastic input-output models written by S.D. Gerking and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is a revision of my Indiana University doctoral disserta tion which was completed in April, 1975. Thanks are, therefore, due to the members of my doctoral committee: Saul Pleeter (Chairman), David J. Behling, R. Jeffery Green, Richard L. Pfister, and Elmus Wicker for their helpful comments on previous versions of the manuscript. In addition, I am indebted to the Division of Research and to the Office of Research and Advanced Studies at Indiana University for financial support. As the reader will observe, the techniques developed in Chapters 3 and 4 of this monograph are illustrated using input-output data from West Virginia. These data were generously made available by William H. Miernyk, Director of the Regional Research Institute at West Virginia University. I also wish to acknowledge the Bureau of Business and Eco nomic Research at Arizona State University for providing two research assistants, Kevin A. Nosbisch and Tom R. Rex, who aided in processing the West Virginia data. A third research assistant, Phillip M. Cano, also worked on this project as part of an independent study program taken under my direction during the spring semester of 1975. Finally, I must thank Mary Holguin and Margaret Shumway who expertly typed the final copy of the manuscript. Despite the efforts of all the individuals mentioned above, I assume responsibility for any errors which may remain.
