Download or read book Identification in Dynamic Shock Error Models written by A. Maravall and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt: Looking at a very simple example of an error-in-variables model, I was surprised at the effect that standard dynamic features (in the form of autocorre 11 lation. in the variables) could have on the state of identification of the model. It became apparent that identification of error-in-variables models was less of a problem when some dynamic features were present, and that the cathegory of "pre determined variables" was meaningless, since lagged endogenous and truly exogenous variables had very different identification properties. Also, for'the models I was considering, both necessary and sufficient conditions for identification could be expressed as simple counting rules, trivial to compute. These results seemed somewhat striking in the context of traditional econometrics literature, and p- vided the original motivation for this monograph. The monograph, therefore, atempts to analyze econometric identification of models when the variables are measured with error and when dynamic features are present. In trying to generalize the examples I was considering, although the final results had very simple expressions, the process of formally proving them became cumbersome and lengthy (in particular for the "sufficiency" part of the proofs). Possibly this was also due to a lack of more high-powered analytical tools and/or more elegant derivations, for which I feel an apology coul be appropiate. With some minor modifications, this monograph is a Ph. D. dissertation presented to the Department of Economics of the University of Wisconsin, Madison. Thanks are due to. Dennis J. Aigner and Arthur S.

Download or read book Identification in Dynamic Shock error Models written by Augustin Maravall-Herrero and published by . This book was released on 1978 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Identification in Dynamic Shock Error Models written by A Maravall and published by . This book was released on 1979-02-05 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Errors in Variables Methods in System Identification written by Torsten Söderström and published by Springer. This book was released on 2018-04-07 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an overview of the different errors-in-variables (EIV) methods that can be used for system identification. Readers will explore the properties of an EIV problem. Such problems play an important role when the purpose is the determination of the physical laws that describe the process, rather than the prediction or control of its future behaviour. EIV problems typically occur when the purpose of the modelling is to get physical insight into a process. Identifiability of the model parameters for EIV problems is a non-trivial issue, and sufficient conditions for identifiability are given. The author covers various modelling aspects which, taken together, can find a solution, including the characterization of noise properties, extension to multivariable systems, and continuous-time models. The book finds solutions that are constituted of methods that are compatible with a set of noisy data, which traditional approaches to solutions, such as (total) least squares, do not find. A number of identification methods for the EIV problem are presented. Each method is accompanied with a detailed analysis based on statistical theory, and the relationship between the different methods is explained. A multitude of methods are covered, including: instrumental variables methods; methods based on bias-compensation; covariance matching methods; and prediction error and maximum-likelihood methods. The book shows how many of the methods can be applied in either the time or the frequency domain and provides special methods adapted to the case of periodic excitation. It concludes with a chapter specifically devoted to practical aspects and user perspectives that will facilitate the transfer of the theoretical material to application in real systems. Errors-in-Variables Methods in System Identification gives readers the possibility of recovering true system dynamics from noisy measurements, while solving over-determined systems of equations, making it suitable for statisticians and mathematicians alike. The book also acts as a reference for researchers and computer engineers because of its detailed exploration of EIV problems.

Download or read book The World Copper Market written by G. Wagenhals and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1.1 The Importance of Copper Copper, the red metal, has been known in histor~ for thousands of ~ears. It ma~ have been mankind's first metal (Joralemon= 1973). And still, probabl~ more than one hundred decades after native copper was used for the first time (Muhl~ (1973: 171», toda~, copper is a ver~ important commodit~: 1. Onl~ aluminum (first in 1963) surpasses refined copper in terms of the total 1 world's mine production and consumption. It outpaces zinc, lead, nickel and tin • 2. Refined copper is one of the most important export products of the developing countries. In 1975, refined copper ranked 8th in the developing countries' export values in general, it was 6th among their non-fuel exports, and their most important export 2 commodit~ among the non-ferrous metals • 3. Man~ small and medium sized industrialized countries depend heavil~ on copper imports. For example, West German~'s share in world mine production has alwa~s been smaller than 0.1 per cent. In the last few decades, however, the Federal Republic's consumption share has amounted to some 8 i. in 1982. 4. Copper is of utmost importance for the export earnings of several countries.

Download or read book Invariance Principles and the Structure of Technology written by R. Sato and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of Lie groups has proven to be a most powerful analytical tool in many areas of modern scientific endeavors. It was only a few years ago that economists discovered the usefulness of this approach in their study of the frontiers of modern economic theory. These frontiers include the areas of technical change and productivity, technology and preference, economic conservation laws, comparative statics and integrability conditions, index number problems, and the general theory of ~ observable market behavior (Sato [1980, 1981], Nono [1971], Sato and N~no [1983], Russell [1983]). 1 In Nono [1971] and Sa to [1981, Chapter 4] the concept of "G-neutral" (group neutral) technical change was first introduced as a natural extension of the well-known concepts of Hicks, Harrod, Solow and Sato-Beckmann-Rose neutrality. The present monograph contains a further extension of the G-neutral technical change to the case of non-constant-returns-to-scale technology and to the case of multiple factor inputs. The methodology of total productivity estimation by means of Lie group transformations is also developed in this monograph. We would like to express our sincere thanks to many individuals notably to Professor M. J. Beckmann, Professor F. Mimura, Professor G. Suzawa, T. Mitchell, K. Mino and P. Calem, for their numerous contributions at various stages of this work. We are also grateful to Marion Wathey for her usual superb typing of this difficult manuscript. Providence, R. I. , U. S. A.

Download or read book The Theory and Practice of Econometrics written by George G. Judge and published by John Wiley & Sons. This book was released on 1991-01-16 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.

Download or read book Nondifferentiable Optimization Motivations and Applications written by Vladimir F. Demyanov and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: The International Institute for Applied Systems Analysis (IIASA) in Laxenburg, Austria, has been involved in research on nondifferentiable optimization since 1976. IIASA-based East-West cooperation in this field has been very productive, leading to many important theoretical, algorithmic and applied results. Nondifferentiable optimi zation has now become a recognized and rapidly developing branch of mathematical programming. To continue this tradition, and to review recent developments in this field, IIASA held a Workshop on Nondifferentiable Optimization in Sopron (Hungary) in September 1964. The aims of the Workshop were: 1. To discuss the state-of-the-art of nondifferentiable optimization (NDO), its origins and motivation; 2. To compare-various algorithms; 3. To evaluate existing mathematical approaches, their applications and potential; 4. To extend and deepen industrial and other applications of NDO. The following topics were considered in separate sessions: General motivation for research in NDO: nondifferentiability in applied problems, nondifferentiable mathematical models. Numerical methods for solving nondifferentiable optimization problems, numerical experiments, comparisons and software. Nondifferentiable analysis: various generalizations of the concept of subdifferen tials. Industrial and other applications. This volume contains selected papers presented at the Workshop. It is divided into four sections, based on the above topics: I. Concepts in Nonsmooth Analysis II. Multicriteria Optimization and Control Theory III. Algorithms and Optimization Methods IV. Stochastic Programming and Applications We would like to thank the International Institute for Applied Systems Analysis, particularly Prof. V. Kaftanov and Prof. A.B. Kurzhanski, for their support in organiz ing this meeting.

Download or read book Cost and Production Functions written by R.W. Shephard and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is the result of an interest in the economic theory of production intermittently pursued during the past three years. Over this period I have received substantial support from the Office of Naval Research, first from a personal service consulting contract directly with the Mathematics Division of the Office of Naval Research and secondly from Project N6 onr-27009 at Princeton Univer sity under the direction of Professor Oskar Morgenstern. Grateful acknowledgement is made to the ·Office of Naval Research for this support and to Professor Morgenstern, in particular, for his interest in the puolication of this research. The responsibility for errors and omissions, how ever, rests entirely upon the author. Professor G. C. Evans has given in terms of a simple total cost function, depending solely upon output rate, a treatment of certain aspects of the economic theory of production which has inherent generality and convenience of formulation. The classical approach of expressing the technology of production by means of a production function is potentially less restrictive than the use of a simple total cost function, but it has not been applied in a more general form other than to derive the familiar conditions between marginal productivities of the factors of produc tion and their market prices.

Download or read book Plural Rationality and Interactive Decision Processes written by Manfred Grauer and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: These Proceedings report the scientific results of the Summer Study on Plural Rationality and Interactive Decision Processes orga nized jointly by the System and Decision Sciences Program of the Inter national Institute for Applied Systems Analysis (located in Laxenburg, Austria) and the Hungarian Committee for Applied Systems Analysis. The Study, which was held in Sopron over the period 16-26 Augus·t 1984, had a very special character. Sixty-eight researchers from sixteen coun tr~es participated, most of them contributing papers or experiments. In addition many members of IIASA's Young Scientists Summer Program were present. All of these participants were heavily involved in dis cussions; discussions that were not limited to the allotted time but extended well into the evenings and nights. By design, the Study gathered specialists from many disciplines, from philosophy and cultur al anthropology, through decision theory, game theory and economics, to engineering and applied mathematics. A further element of diversity was the representation of several varieties of culture, from typically Western countries, through Middle and Eastern Europe, to the Far East.

Download or read book Integral Global Optimization written by Soo H. Chew and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book treats the subject of global optimization with minimal restrictions on the behavior on the objective functions. In particular, optimal conditions were developed for a class of noncontinuous functions characterized by their having level sets that are robust. The integration-based approach contrasts with existing approaches which require some degree of convexity or differentiability of the objective function. Some computational results on a personal computer are presented.

Download or read book Location and Layout Planning written by W. Domschke and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Arbitrage Pricing of Contingent Claims written by Sigrid Müller and published by Springer Science & Business Media. This book was released on 2013-03-13 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Arbitrage Theory written by Jochen E.M. Wilhelm and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present 'Introductory Lectures on Arbitrage-based Financial Asset Pricing' are a first attempt to give a comprehensive presentation of Arbitrage Theory in a discrete time framework (by the way: all the re sults given in these lectures apply to a continuous time framework but, probably, in continuous time we could achieve stronger results - of course at the price of stronger assumptions). It has been turned out in the last few years that capital market theory as derived and evolved from the capital asset pricing model (CAPM) in the middle sixties, can, to an astonishing extent, be based on arbitrage arguments only, rather than on mean-variance preferences of investors. On the other hand, ar bitrage arguments provided access to a wider range of results which could not be obtained by standard CAPM-methods, e. g. the valuation of contingent claims (derivative assets) Dr the_ investigation of futures prices. To some extent the presentation will loosely follow historical lines. A selected set of capital asset pricing models will be derived according to their historical progress and their increasing complexity as well. It will be seen that they all share common structural properties. After having made this observation the presentation will become an axiomatical one: it will be stated in precise terms what arbitrage is about and what the consequences are if markets do not allow for risk-free arbitrage opportunities. The presentation will partly be accompanied by an illus trating example: two-state option pricing.

Download or read book The Relation Between Final Demand and Income Distribution written by C. Grootaert and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Economic Theory and International Trade in Natural Exhaustible Resources written by Cees Withagen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is concerned with the economic theory of exhaustible resources. My interest in exhaustible resources dates back several years when prof. dr. J. Cramer and prof. dr. C. von Weizsacker stimu lated me to direct my research, at the Faculty of Actuarial Science and Econometrics of the University of Amsterdam, to the exploitation of Dutch natural gas. This issue raised many theoretical problems, in which I got gradually more and more involved. I was lucky to find in prof. dr. H. Weddepohl a person prepared to listen patiently and to read and critisize my numerous attempts to solve these problems. The actual work on the present monograph started in 1982 at the Faculty of Philosophy and Social Sciences of the Eindhoven University of Technology, in the context of the program "Equilibrium and Dis equilibrium" of the "voorwaardelijke financiering" (universitary financing system). I wish to thank here my supervisors prof. dr. P. Ruys and prof. dr. H. Weddepohl for their comments on earlier drafts of this monograph. When looking back, I realize that their remarks and our dis cussions have led to notable improvements. Also the Internation~l Institute for Applied Systems Analysis (Laxenburg, Austria) has made a valuable contribution by offering me the opportunity to spend three months in its serene academic environment in the summer of 1983. Thanks also to the energy group of I. I. A. S. A. and the I. I. A. S. A. foundation Netherlands.

Download or read book Optimization and Discrete Choice in Urban Systems written by Bruce G. Hutchinson and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'l'he papers contained in this volume were originally presented at the International symposium on New Directions in Urban Systems Modelling held at the University of Waterloo in July, 1983. The papers have been reviewed and rewritten since that time. The exception is the introductory paper written specially by Manfred Fischer and Peter Nijkamp as an introduction to this volume. The manuscript was prepared in the word processing unit in the nepartment of Civil Engineering, university of Waterloo. The sustained work of Mrs. I. Steffler in preparing this manuscript is gratefully acknowledged. "'r. R. K. Kumar provided excellent assistance with the editorial process. The svrnposium and the preparation of this manuscript were supporteö financially by the Natural Sciences and Engineering Research Council of Canada, The Academic Development Fund and the Department of Civil Engineering, TTniversity of waterloo. TABLE OF CONTENTS PREFACE •....••...•..•...•..........•..••.•....•.•••.••.••.•..•••••.•.••.. III Categorical Data and Choice Analysis in a Spatial Context Manfred Fischer and Peter Nijkamp .•••....•.......•.•.....•.......•.......