Optimal Control of Econometric Models with Autocorrelated Disturbance Terms. by Princeton University. Econometric Research Program. Download PDF EPUB FB2
"Optimal Control of Econometric Models with Autocorrelated Disturbance Terms," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol.
16(1), pagesFebruary. The practical application of the optimal control of a nonlinear system is demonstrated using a nonlinear econometric model of the Czechoslovak economy, consisting of 32 equations with 74 variables.
Pagan, A. (), ‘Optimal control of econometric models with autocorrelated disturbance terms’, International Economic Review, 16, pp. – CrossRef Google Scholar Schmidt, P. (), ‘The asymptotice distribution of forecasts in the dynamic solution of an econometric model’, Econometricà, Author: Ralph Friedmann.
Evaluation of Econometric Models presents approaches to assessing and enhancing the progress of applied economic research. This book discusses the problems and issues in evaluating econometric models, use of exploratory methods in economic analysis, and model construction and evaluation when theoretical knowledge is Edition: 1.
An econometric model then is a set of joint probability distributions to which the true joint probability distribution of the variables under study is supposed to belong. In the case in which the elements of this set can be indexed by a finite number of real-valued parameters, the model is called a parametric model ; otherwise it is a.
Pagan, A.: Optimal Control of Econometric Models with Autocorrelated Disturbance Terms, International Economic Review 16 (), – CrossRef Google Scholar Payne, J.H.
und L.M. Silverman: On the discrete-time algebraic Riccati Equation, IEEE Transactions on Automatic Control AC (), – CrossRef Google ScholarAuthor: Siegmar Stöppler.
Pagan, Adrian R, "Optimal Control of Econometric Models with Autocorrelated Disturbance Terms," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol.
16(1), pagesFebruary. Pagan, Adrian R, Optimal Control of Econometric Models with Autocorrelated Disturbance Terms Adrian Pagan The Review is published fully in English, three times a year.
The subscription price for individuals (for the subscriber's personal use only and the copies should not be made available to institutions) is $ per year outside Japan and Y5, per year in. the variance of disturbance term remains constant though the successive disturbance terms are correlated, then such problem is termed as the problem of autocorrelation.
When autocorrelation is present, some or all off-diagonal elements in E (') uu are Size: KB. 4 An Econometric Model The United States (US) Model l Introduction The construction of an econometric model is described in this chapter. This model is based on the theoretical model in Chapter 3. and thus discussion in this chapter provides an example ofthe transition from a theoretical model.
that econometric models of the type in wide current use, which make no provision for examining the effects of the public's views about plans for future policy choices, are useless for policy analysis. This book surveys the theories, techniques (model- building and data collection), and applications of econometrics.
KEY TOPICS: It focuses on those aspects of econometrics that are of major importance to readers and researchers interested in performing, evaluating, or understanding econometric studies in a variety of areas.
It reviews matrix notation and the use of multivariate statistics Cited by: The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey.
In: International Economic Review. [Citation analysis] article: 8: Optimal Control of Econometric Models with Autocorrelated Disturbance Terms. In: International Economic Review. [Citation analysis] article: 1: 1. Formulation and specification of econometric models: The economic models are formulated in an empirically testable form.
Several econometric models can be derived from an economic model. Such models differ due to different choice of functional form, specification of the stochastic structure of the variables etc. Estimation and testing of File Size: 77KB. In a classical optimal control problem the terminal time, either prescribed a priori or not, is always a real number.
In many dynamic optimization problems in economics one is led to consider optimal control problems in which the terminal time is the extended real number + 8?.
These are the so called optimal control problems with infinite horizon. Other articles where Econometric model is discussed: Jan Tinbergen: noted for his development of econometric models. He was the cowinner (with Ragnar Frisch).
deterministic models which do not include random variables). I The random variables that are included, typically as additive stochastic disturbance terms, account in part for the omission of relevant variables, incorrect speci cation of the model, errors in measuring variables, etc.
I Recall the utility function example, the econometric modelFile Size: KB. What Is the Mises Daily. The Mises Daily articles are short and relevant and written from the perspective of an unfettered free market and Austrian economics.
Written for a broad audience of laymen and students, the Mises Daily features a wide variety of topics including everything from the history of the state, to international trade, to drug prohibition, and business cycles.
Econometric Models and Economic Forecasts [Pindyck, Robert S., Rubinfeld, Daniel L.] on *FREE* shipping on qualifying offers. Econometric Models and Economic Forecasts/5(6). Much of the work in economic policy design is focused on determining optimal control rules for econometric models.
Every model, as a simplified descri Author: Jaime Terceiro. An econometric model is one of the tools economists use to forecast future developments in the economy. In the simplest terms, econometricians measure past relationships among such variables as consumer spending, household income, tax rates, interest rates, employment, and the like, and then try to forecast how changes in some variables will affect the future [ ].
Econometric Methods with Applications in Business and Economics Heij / Econometric Methods with Applications in Business and Economics Final Proof pm page iv. Preface Econometric models and methods are applied in the daily practice of virtually all disciplines in business and economics like ﬁnance, marketing.
SPECIFYING ECONOMETRIC MODELS The target of an econometric analysis is the data generation process (DGP) that maps explanatory variables x into a dependent variable y, with unobserved elements making the mapping stochastic. Write such a mapping as y = m *(x,), where denotes an unobserved effect or state of nature that has aFile Size: KB.
Supplemental Material Supplement to "Optimal Inference in a Class of Regression Models" This zip file contains an appendix within additional material not found. This book provides an introduction to econometrics through a thorough grounding in probability theory and statistical inference.
The emphasis is on the concepts and ideas underlying probability theory and statistical inference, and on motivating the learning of them both at a formal and an intuitive level. By basing its approach on the underlying theory, it is able to cover fully the Reviews: 1.
Westaway, P.F. () "Partial Credibility: A solution technique for econometric models", paper to be presented at the 6th IFAC Symposium in Edinburgh, June.
Aoki, M. (), Optimal Control and System Theory in Dynamic Economic Analysis, North Holland, by: 6. CRITERIA FOR EVALUATION OF ECONOMETRIC MODEI.S* BY PI-IOEBUS DHRYMES, E.
PHILIP HOWREY, SAUL H. HYMANS, JAN KMENTA, EDWARD E. LEAMER, RICHARD E. QUANOT, JAMES B. RAMSEY, HAROLD T. SHAPIRO AND VICTOR ZARNOWITZ This multi-authored article develops a framework for systematically evaluating large scale econometric models.
ON THE ROBUST ESTIMATION OF ECONOMETRIC MODELS Most of the work that has been done on robust estimation techniques has been concerned with the estimation of a small number of parameters.’ This paper considers the use of such techniques for the estimation of econometric models.
On model specification and parameter space definitions in higher order spatial econometric models. Regional Science and Urban Economics, Vol. 42, Issue.p. Regional Science and Urban Economics, Vol. 42, Issue.p.
Cited by: Econometric Forecasting Model Definition. Econometric forecasting models are systems of relationships between variables such as GNP, inflation, exchange rates etcetera.
Their equations are then estimated from available data, mainly aggregate time series (Clements and Hendry, ).Econometric Analysis of Large Factor Models Jushan Bai and Peng Wangy August Abstract Large factor models use a few latent factors to characterize the co-movement of economic variables in a high dimensional data set.
High dimensionality brings challenge as well as new insight into the advancement of econometric theory.