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Models for Dynamic Macroeconomics

Fabio-Cesare Bagliano and Giuseppe Bertola

Published in print:
2004
Published Online:
January 2005
ISBN:
9780199266821
eISBN:
9780191601606
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0199266824.001.0001
Subject:
Economics and Finance, Macro- and Monetary Economics

Introduces methodological tools for dynamic analysis of macroeconomic phenomena: consumption and investment choices, employment, and unemployment outcomes, and economic growth. Discrete‐time dynamic ... More


Dynamic Economics: Optimization by the Lagrange Method

Gregory C. Chow

Published in print:
1997
Published Online:
October 2011
ISBN:
9780195101928
eISBN:
9780199855032
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195101928.001.0001
Subject:
Economics and Finance, Financial Economics

This work provides a unified and simple treatment of dynamic economics using dynamic optimization as the main theme, and the method of Lagrange multipliers to solve dynamic economic problems. The ... More


Stochastic optimal control model of short-term debt 1

Jerome L. Stein

in Stochastic Optimal Control, International Finance, and Debt Crises

Published in print:
2006
Published Online:
May 2006
ISBN:
9780199280575
eISBN:
9780191603501
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199280576.003.0002
Subject:
Economics and Finance, Financial Economics

Data on the credit rating of bonds issued in the first half of the 1990s suggest that investors in emerging market securities paid little attention to credit risk, or that they were comfortable with ... More


Stochastic intertemporal optimization: Long-term debt continuous time

Jerome L. Stein

in Stochastic Optimal Control, International Finance, and Debt Crises

Published in print:
2006
Published Online:
May 2006
ISBN:
9780199280575
eISBN:
9780191603501
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199280576.003.0003
Subject:
Economics and Finance, Financial Economics

This chapter answers the following technical questions: In a stochastic environment, where the return on capital and the interest rate are stochastic, what is an optimal (1) long-term debt, (2) ... More


Recursive Models of Dynamic Linear Economies

Lars Peter Hansen and Thomas J. Sargent

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691042770
eISBN:
9781400848188
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691042770.001.0001
Subject:
Economics and Finance, History of Economic Thought

A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. This book uses these tools to create a class of econometrically tractable models of prices and ... More


Dynamic Allocation and Pricing: A Mechanism Design Approach

Alex Gershkov and Benny Moldovanu

Published in print:
2015
Published Online:
May 2016
ISBN:
9780262028400
eISBN:
9780262327732
Item type:
book
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028400.001.0001
Subject:
Economics and Finance, Financial Economics

Dynamic allocation and pricing problems appear in numerous frameworks such as the retail of seasonal/style goods, the allocation of fixed capacities in the travel and leisure industries (e.g., ... More


Consumption En Route: The Second Turnpike Theorem

Michio Morishima

in Theory of Economic Growth

Published in print:
1969
Published Online:
November 2003
ISBN:
9780198281641
eISBN:
9780191596667
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198281641.003.0013
Subject:
Economics and Finance, Development, Growth, and Environmental

Chapter 10 was concerned with the Final State Turnpike Theorem on the assumptions that consumption of each good per worker is fixed throughout the planning period and that the authorities try to ... More


Logic of Choice and Economic Theory

S. N. Afriat

Published in print:
1987
Published Online:
November 2003
ISBN:
9780198284611
eISBN:
9780191595844
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198284616.001.0001
Subject:
Economics and Finance, Microeconomics

This book approaches various aspects of economics that have to do with choice, and the opportunity for it, such as individual and social choice, production, optimal programming, and the market. The ... More


The Structure of Simultaneous Equations Estimators

David F. Hendry

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0014
Subject:
Economics and Finance, Econometrics

Optimal estimation is necessary for empirical modelling, but can be summarized in an estimator generating equation (EGE). The EGE reduces a vast literature on estimating individual equations and ... More


AUTOREG: A Computer Program Library for Dynamic Econometric Models With Autoregressive Errors

David F. Hendry and Frank Srba

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0015
Subject:
Economics and Finance, Econometrics

Keeping econometrics operational with suitable computer programs that implement new methods and approaches is essential. The evolution of AUTOREG follows the methodological developments, from ... More


Multipliers and the LeChatelier Principle

Paul Milgrom

in Samuelsonian Economics and the Twenty-First Century

Published in print:
2006
Published Online:
January 2009
ISBN:
9780199298839
eISBN:
9780191711480
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199298839.003.0020
Subject:
Economics and Finance, History of Economic Thought

This chapter examines Samuelson's Le Chatelier principle of how the market responds to a change in parameters of demand and supply curves. It uses examples in demand theory, economic policy, and ... More


Ideas, Pioneers, and Precursors

Kumaraswamy Velupillai

in Computable Economics: The Arne Ryde Memorial Lectures

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198295273
eISBN:
9780191596988
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198295278.003.0002
Subject:
Economics and Finance, Macro- and Monetary Economics

In this chapter, a first, tentative attempt is made to define the nature and scope of what is meant by computable economics. From a study of the way economics was mathematized in the modern era, – ... More


Theories of Market Equilibrium

GREGORY C. CHOW

in Dynamic Economics: Optimization by the Lagrange Method

Published in print:
1997
Published Online:
October 2011
ISBN:
9780195101928
eISBN:
9780199855032
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195101928.003.0004
Subject:
Economics and Finance, Financial Economics

The most basic model of equilibrium involves how the intersections between the demand function and the supply function illustrate the price and amount of output of a certain commodity. In exchange ... More


Dynamic Games

GREGORY C. CHOW

in Dynamic Economics: Optimization by the Lagrange Method

Published in print:
1997
Published Online:
October 2011
ISBN:
9780195101928
eISBN:
9780199855032
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195101928.003.0006
Subject:
Economics and Finance, Financial Economics

The dynamic game theory—which is commonly used to study pricing methods in oligopolic situations—is introduced in this chapter through the dynamic optimization perspective. A model of dynamic games ... More


The Theory of Optimal Taxation

James A. Mirrlees

in Welfare, Incentives, and Taxation

Published in print:
2006
Published Online:
October 2011
ISBN:
9780198295211
eISBN:
9780191685095
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198295211.003.0012
Subject:
Economics and Finance, Public and Welfare, Development, Growth, and Environmental

This chapter discusses the theory of optimal taxation, without including a discussion on the optimization of macro-economic models that are used to treat several aspects of public policy. Information ... More


Algorithms for estimating parametric nonlinear models

Timo Teräsvirta, Dag Tjøstheim, and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print:
2010
Published Online:
May 2011
ISBN:
9780199587148
eISBN:
9780191595387
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199587148.003.0012
Subject:
Economics and Finance, Econometrics

This chapter contains an introduction to estimating parametric nonlinear models. Estimation has to be carried out using numerical algorithms. Both algorithms not using derivatives of the function to ... More


Arbitrage Theory in Continuous Time

Tomas Björk

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.001.0001
Subject:
Economics and Finance, Financial Economics

This book gives a comprehensive introduction to arbitrage theory for the pricing of contingent claims, such as options, futures, and other financial derivatives. The arbitrage theory for the term ... More


Foundations of Info-Metrics: Modeling, Inference, and Imperfect Information

Amos Golan

Published in print:
2017
Published Online:
November 2017
ISBN:
9780199349524
eISBN:
9780199349555
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780199349524.001.0001
Subject:
Economics and Finance, Econometrics

This book provides a framework for info-metrics—the science of modeling, inference, and reasoning under conditions of noisy and insufficient information. Info-metrics is an inherently ... More


Land Use Structure Optimization and Urban Development in the Pearl River Delta

Changchun Feng and Jiajie Zhu

in China's Pan-Pearl River Delta: Regional Cooperation and Development

Published in print:
2010
Published Online:
September 2011
ISBN:
9789888028504
eISBN:
9789882206717
Item type:
chapter
Publisher:
Hong Kong University Press
DOI:
10.5790/hongkong/9789888028504.003.0011
Subject:
Economics and Finance, South and East Asia

This chapter discusses the relationship between land-use structure optimization and urban development. During periods of rapid economic transformation, the optimization of land-use structures can ... More


Math Reviews

Harold L. Cole

in Finance and Financial Intermediation: A Modern Treatment of Money, Credit, and Banking

Published in print:
2019
Published Online:
May 2019
ISBN:
9780190941697
eISBN:
9780190949068
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190941697.003.0018
Subject:
Economics and Finance, Macro- and Monetary Economics, Financial Economics

This chapter provides a brief review of the key mathematical concepts we will be using in the text. These include aspects of optimization theory, derivatives, and probability theory.


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