System-Theoretic Methods in Economic Modelling II

System-Theoretic Methods in Economic Modelling II complements the editor's earlier volume, bringing together current research efforts integrating system-theoretic concepts with economic modelling processes. The range of papers presented here goes beyond the long-accepted control-theoretic contributions in dynamic optimization and focuses on system-theoretic methods in the construction as well as the application stages of economic modelling. This volume initiates new and intensifies existing debate between researchers and practitioners within and across the disciplines involved, with the objective of encouraging interdisciplinary research. The papers are split into four sections - estimation, filtering and smoothing problems in the context of state space modelling; applying the state space concept to financial modelling; modelling rational expectation; and a miscellaneous section including a follow-up case study by Tse and Khilnani on their integrated system model for a fishery management process, which featured in the first volume.

Contenu

Preface, S Mittnik. A systems approach to recursive economic forecasting and seasonal adjustment, P Young et al. Non-Gaussian seasonal adjustment, G Kitagawa. Filtering and smoothing algorithms for state space models, R Kohn & C F Ansley. State-space approximation of multi-input multi-output systems with stochastic exogenous inputs, P W Otter & R van Dal. Analytic derivatives for estimation of linear dynamic models, P A Zadrozny. A state space model of the economic fundamentals, R Craine & D Bowman. A dynamic view of the portfolio efficiency frontier, J K Sengupta. State space methods in asset pricing, M Cerchi. Some thoughts on rational expectations models, and alternate formulations, T Basar. The solution of dynamic linear rational expectations models, F X Diebold. Controllability of economic systems under alternative expectations hypotheses - the discrete case, H Kuhn & H-W Wohltmann. Extensions of linearisation to large econometric models with rational expectations, N M Christodoulakis. Remarks on equilibrium state achievement in state space control, V Strejc. Optimal feedback stabilization policy with asymmetric loss functions, P Jain & Maheshwari. Globally optimal paths in the nonclassical growth model, R Amir. An integrated system model for a fishery management process-II. A case study, E Tse & A Khilnani.