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Computational Methods for the Study of Dynamic Economies

Ramon Marimon and Andrew Scott (eds)

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.001.0001
Subject:
Economics and Finance, Macro- and Monetary Economics

Macroeconomics increasingly uses stochastic dynamic general equilibrium models to understand theoretical and policy issues. Unless very strong assumptions are made, understanding the properties of ... More


Building 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/9780199587148.003.0016
Subject:
Economics and Finance, Econometrics

The topic of this chapter is nonlinear model building. Building non‐parametric models is considered first, followed by building various types of parametric nonlinear models. The latter include smooth ... More


Solving Nonlinear Rational Expectations Models by Eigenvalue–Eigenvector Decompositions

Alfonso Novales, Emilio Domínguez, Javier J. Pérez, and Jesús Ruiz

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0004
Subject:
Economics and Finance, Macro- and Monetary Economics

Discusses the main issues involved in practical applications of solution methods that have been proposed for rational expectations models, based on eigenvalue–eigenvector decompositions. It starts by ... More


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/9780199587148.003.0003
Subject:
Economics and Finance, Econometrics

In this chapter, a number of most commonly applied nonlinear time series models are being considered. As opposed to the previous chapter, these models do not generally have their origin in economic ... More


The Parameterized Expectations Approach: Some Practical Issues

Albert Marcet and Guido Lorenzoni

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0007
Subject:
Economics and Finance, Macro- and Monetary Economics

Some practical issues are discussed that relate to the use of the parameterized expectations approach (PEA) for solving nonlinear stochastic dynamic models with rational expectations. This approach ... More


A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily

Harald Uhlig

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0003
Subject:
Economics and Finance, Macro- and Monetary Economics

An extensive treatment is provided of methods that use log‐linear approximations to solve nonlinear dynamic discrete‐time stochastic models. These methods, based on their linear counterparts, have ... More


Dummy and Ordinal Dependent Variables

Stephen Bazen

in Econometric Methods for Labour Economics

Published in print:
2011
Published Online:
January 2012
ISBN:
9780199576791
eISBN:
9780191731136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199576791.003.0004
Subject:
Economics and Finance, Econometrics

In many situations, the question addressed in labour economics is of a binary nature. An individual decides whether to participate or not in the labour force. He or she is either in or out. ... More


Finite‐Difference Methods for Continuous‐Time Dynamic Programming

Graham V. Candler

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0008
Subject:
Economics and Finance, Macro- and Monetary Economics

Introduces some of the methods and underlying ideas behind computational fluid dynamics—in particular, the use is discussed of finite‐difference methods for the simulation of dynamic economies. A ... More


Semi-Automatic Nonlinear Model Selection

Jennifer L. Castle and David F. Hendry

in Essays in Nonlinear Time Series Econometrics

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.003.0007
Subject:
Economics and Finance, Econometrics

We consider model selection for nonlinear dynamic equations with more candidate variables than observations, based on a general class of nonlinear-in-the-variables functions, addressing possible ... More


Application of Weighted Residual Methods to Dynamic Economic Models

Ellen R. McGrattan

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0006
Subject:
Economics and Finance, Macro- and Monetary Economics

Many problems in economics require the solution to a functional equation as an intermediate step, and typically, decision functions are sought that satisfy a set of Euler conditions or a value ... More


Approximate filtering and smoothing

J. Durbin and S.J. Koopman

in Time Series Analysis by State Space Methods: Second Edition

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.003.0010
Subject:
Mathematics, Probability / Statistics

This chapter discusses approximate filtering and smoothing methods for the analysis of non-Gaussian and nonlinear models. The chapter is organized as follows. Sections 10.2 and 10.3 consider two ... More


Linearity Testing for Trending Data with an Application of the Wild Bootstrap

Robinson Kruse and Rickard Sandberg

in Essays in Nonlinear Time Series Econometrics

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.003.0003
Subject:
Economics and Finance, Econometrics

This chapter presents new linearity tests in smooth transition logistic time series models allowing for parameter instability. Building on work by Lundbergh and Teräsvirta (2003), Vogelsang (1998), ... More


Special cases of nonlinear and non-Gaussian models

J. Durbin and S.J. Koopman

in Time Series Analysis by State Space Methods: Second Edition

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.003.0009
Subject:
Mathematics, Probability / Statistics

This chapter discusses the range of non-Gaussian and nonlinear models that can be analysed using the methods of Part II. The chapter is organized as follows. Section 9.2 considers an important ... More


Nonlinear Problems

G. F. Roach, I. G. Stratis, and A. N. Yannacopoulos

in Mathematical Analysis of Deterministic and Stochastic Problems in Complex Media Electromagnetics

Published in print:
2012
Published Online:
October 2017
ISBN:
9780691142173
eISBN:
9781400842650
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691142173.003.0011
Subject:
Mathematics, Applied Mathematics

This chapter studies nonlinearity in electromagnetic media. Nonlinearity appears in a number of cases in which the dispersion relations or equivalently the coefficients of the constitutive relations ... More


Non-Gaussian and nonlinear illustrations

J. Durbin and S.J. Koopman

in Time Series Analysis by State Space Methods: Second Edition

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.003.0014
Subject:
Mathematics, Probability / Statistics

This chapter discusses examples which illustrate the methods that were developed in Part II for analysing observations using non-Gaussian and nonlinear state space models. These include the monthly ... More


Introduction

J. Durbin and S.J. Koopman

in Time Series Analysis by State Space Methods: Second Edition

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.003.0001
Subject:
Mathematics, Probability / Statistics

This introductory chapter provides an overview of the main themes covered in the present book, namely linear Gaussian state space models and non-Gaussian and nonlinear state space models. It also ... More


Are There Thresholds of Current Account Adjustment in the G7?

Richard H. Clarida, Manuela Goretti, and Mark P. Taylor

in G7 Current Account Imbalances: Sustainability and Adjustment

Published in print:
2007
Published Online:
February 2013
ISBN:
9780226107264
eISBN:
9780226107288
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226107288.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter addresses the nonlinear models of current account adjustment for the G7 countries. For most of the G7 countries, significant evidence of threshold effects in current account adjustment ... More


Importance sampling for smoothing

J. Durbin and S.J. Koopman

in Time Series Analysis by State Space Methods: Second Edition

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.003.0011
Subject:
Mathematics, Probability / Statistics

This chapter develops the methodology of importance sampling based on simulation for the analysis of observations from the non-Gaussian and nonlinear models that were specified in Chapter 9. It shows ... More


Bayesian Treatments of Neuroimaging Data

Will Penny and Karl Friston

in Bayesian Brain: Probabilistic Approaches to Neural Coding

Published in print:
2006
Published Online:
August 2013
ISBN:
9780262042383
eISBN:
9780262294188
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262042383.003.0005
Subject:
Neuroscience, Disorders of the Nervous System

This chapter describes the application of Bayesian methods to neuroimaging data. First, it introduces a functional magnetic resonance imaging (fMRI) data set that is analysed using posterior ... More


Consistent Testing of Functional Form in Time Series Models

James Davidson and Andreea G. Halunga

in Essays in Nonlinear Time Series Econometrics

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.003.0002
Subject:
Economics and Finance, Econometrics

We develop a consistent procedure for testing the adequacy of parametric time series models. The approach is to extend Herman Bierens’s idea of examining the covariances between regression residuals ... More


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