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Estimation of simultaneous systems of spatially interrelated cross sectional equations
Spatial dependence Simultaneous equation system Two-stage least squares Three-stage least squares Generalized moments estimation
2015/9/24
In this paper we consider a simultaneous system of spatially interrelated cross sectional equations. Our speci.cation incorporates spatial lags in the endogenous and exogenous variables. In modelling ...
Multiperiod Optimization in Economic Systems with Unknown Parameters
Multiperiod Optimization Economic Systems
2015/8/5
Multiperiod Optimization in Economic Systems with Unknown Parameters.
How Non-linearity will Transform Information Systems
Complexity Nonlinearity Econophysics Rational Expectations Risk Business intelligence corporate performance management
2012/9/17
One “problem” with the 21st century world, particularly the economic and business worlds, is the phenomenal and increasing number of interconnections between economic agents (consumers, firms, banks, ...
Relations between allometric scalings and fluctuations in complex systems: The case of Japanese firms
Relations between allometric scalings fluctuations complex systems Japanese firms
2012/9/14
To elucidate allometric scaling in complex systems, we investigated the underlying scaling rela-tionships between typical three-scale indicators for approximately 500,000 Japanese firms; namely,annual...
Applications of Complex Systems in Business and Economy
Applications Complex Systems Business and Economy
2012/9/14
In this paper the complex systems are discussed from the business and economics point of view. It will be showed and motivated that social systems are typically chaotic and/or non-linear and therefore...
Statistical thermodynamics of economic systems
Econophysics statistical thermodynamics money function
2010/10/29
We formulate thermodynamics of economic systems in terms of an arbitrary probability distribution for a conserved economic quantity. As in statistical physics, thermodynamic macroeconomic variables em...
Optimal systems of subalgebras for a nonlinear Black-Scholes equation
Black - Scholes model nonlinearity optimal system
2010/10/29
The main object of our study is a four dimensional Lie algebra which describes the symmetry properties of a nonlinear Black-Scholes model. This model implements a feedback effect which is typical for ...
System Reduction and Solution Algorithms for Singular Linear Difference Systems under Rational Expectations
system reduction algorithm models solutions in practice
2014/3/18
A first-order linear difference system under rational expectations is,AEyt+1|It =Byt +C(F)Ext|It ,Whereyt is a vector of endogenous variables; xt is a vector of exogenous variables; Eyt+1|It is the ex...
A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMS
Error correction models unit roots money demand
2014/3/18
Efficient estimators of cointegrating vectors are presented for systems involving deter-ministic components and variables of differing, higher orders of integration. The estima-tors are...