This book presents a comprehensive study of multivariate time series with linear state space structure. The emphasis is put on both the clarity of the theoretical concepts and on efficient algorithms for implementing the theory. In particular, it investigates the relationship between VARMA and state space models, including canonical forms. It also highlights the relationship between Wiener-Kolmogorov and Kalman filtering both with an infinite and a finite sample. The strength of the book also lies in the numerous algorithms included for state space models that take advantage of the recursive nature of the models. Many of these algorithms can be made robust, fast, reliable and efficient. The book is accompanied by a MATLAB package called SSMMATLAB and a webpage presenting implemented algorithms with many examples and case studies. Though it lays a solid theoretical foundation, the book also focuses on practical application, and includes exercises in each chapter. It is intended for researchers and students working with linear state space models, and who are familiar with linear algebra and possess some knowledge of statistics.

This book provides a concise introduction to the mathematical foundations of time series analysis, with an emphasis on mathematical clarity. The text is reduced to the essential logical core, mostly using the symbolic language of mathematics, thus enabling readers to very quickly grasp the essential reasoning behind time series analysis. It appeals to anybody wanting to understand time series in a precise, mathematical manner. It is suitable for graduate courses in time series analysis but is equally useful as a reference work for students and researchers alike.

This contributed volume applies spatial and space-time econometric methods to spatial interaction modeling. The first part of the book addresses general cutting-edge methodological questions in spatial econometric interaction modeling, which concern aspects such as coefficient interpretation, constrained estimation, and scale effects. The second part deals with technical solutions to particular estimation issues, such as intraregional flows, Bayesian PPML and VAR estimation. The final part presents a number of empirical applications, ranging from interregional tourism competition and domestic trade to space-time migration modeling and residential relocation.

This book examines the macroeconomic and regulatory impact of domestic and international shocks on the South African economy resulting from the 2009 financial crisis. It also assesses the impact of the US economy's eventual recovery from the crisis and the prospect of higher US interest rates in future. Told in three parts, the book explores associations between economic growth, policy uncertainty and the key domestic and international transmission channels, and transmission effects, of global financial regulatory and domestic macro-economic uncertainties on subdued and volatile economic recovery, financial channels, lending rate margins, and credit growth. The book concludes by extending its focus to the role of US monetary policy, capital flows and rand/US dollar volatility on the South African economy.

This book analyzes evolution of monetary policy in Rwanda since it was first implemented by the National Bank of Rwanda in 1964 when the bank was established. It contributes to the understanding of monetary policy which is formulation and implementation in different stages of development of a financial system that comprises the financial market (money market and capital market), financial intermediaries such as commercial banks, and the financial sector infrastructures such as payment systems and the credit reference bureau. The book breaks down applied empirical research on the assessment of key assumptions of a monetary targeting framework, namely the stability of money multiplier and money demand using econometrics of time series, through a number of case studies. Presenting a detailed empirical analysis of the monetary transmission mechanism, one of the most analyzed topics in central banks in advanced economies, this book is a valuable read for central bankers and other researchers of monetary policy, particularly in developing economies.

The volume highlights the state-of-the-art knowledge (including data analysis) of productivity, inequality and efficiency analysis. It showcases a selection of the best papers from the 9th North American Productivity Workshop. These papers are relevant to academia, but also to public and private sectors in terms of the challenges that firms, financial institutions, governments, and individuals may face when dealing with economic and education related activities that lead to increase or decrease of productivity. The volume also aims to bring together ideas from different parts of the world about the challenges those local economies and institutions may face when changes in productivity are observed. These contributions focus on theoretical and empirical research in areas including productivity, production theory and efficiency measurement in economics, management science, operation research, public administration, and education. The North American Productivity Workshop (NAPW) brings together academic scholars and practitioners in the field of productivity and efficiency analysis from all over the world, and this proceedings volume is a reflection of this mission. The papers in this volume also address general topics as education, health, energy, finance, agriculture, transport, utilities, and economic development, among others. The editors are comprised of the 2016 local organizers, program committee members, and celebrated guest conference speakers.

This clearly written volume provides an accessible examination of the nature of disequilibrium models. Srivastava and Rao contend that existing software packages can be easily used to implement some of the relatively simple methods. This study furnishes a substantial grounding in the economics and econometrics of the disequilibrium models by reviewing the Walrasian general equilibrium theory and by comparing the two genuine alternative frameworks for analyzing economic phenomena. Srivastava and Rao demonstrate that while both frameworks share a common set of basic assumptions about the behavior of the economic decision making units, they differ in their assumptions about the ability of the markets to attain equilibrium within a single trading period and whether trading can take place out of equilibrium. The first two chapters provide background, divide the existing methods of estimation of disequilibrium models into two categories, and explain the estimation methods for the basic model that belongs to the first category. The next three chapters explain the estimation methods for the directional, quantitative, and generalized stochastic models of the second category. Various methods for testing and evaluating equilibrium versus disequilibrium hypotheses are investigated in chapter six. Chapter seven examines the assumptions on which the models are formulated and discusses some alternative specifications of the disequilibrium models. The final chapters provide analyses of the economics and econometrics of the multi-market models and illustrate how some simple estimation methods can be used to estimate the disequilibrium formulations of the U. S. labor market. This is an important volume that will aid in the achievement of methodological consistency between analytical philosophy and the estimation methods in the applied work on disequilibrium economics.

This book gives a thorough and systematic introduction to the latest research results about fuzzy decision-making method based on prospect theory. It includes eight chapters: Introduction, Intuitionistic fuzzy MADM based on prospect theory, QUALIFLEX based on prospect theory with probabilistic linguistic information, Group PROMETHEE based on prospect theory with hesitant fuzzy linguistic information, Prospect consensus with probabilistic hesitant fuzzy preference information, Improved TODIM based on prospect theory and the improved TODIM with probabilistic hesitant fuzzy information, etc. This book is suitable for the researchers in the fields of fuzzy mathematics, operations research, behavioral science, management science and engineering, etc. It is also useful as a textbook for postgraduate and senior-year undergraduate students of the relevant professional institutions of higher learning.

This edited volume, with contributions by area experts, offers discussions on a range of evolving topics in economics and social development. At center are important issues central to sustainable development, economic growth, technological change, the economics of climate change, commodity markets, long wave theory, non-linear dynamic models, and boom-bust cycles. This is an excellent reference for academic and professional economists interested in emerging areas of empirical macroeconomics and finance. For policy makers and curious readers alike, it is also an outstanding introduction to the economic thinking of those who seek a holistic and all-compassing approach in economic theory and policy. Looking into new data and methodology, this book offers fresh approaches in a post-crisis environment. Set in a profound understanding of the diverse currents within the many traditions of economic thought, this book pushes the established frontiers of economic thinking. It is dedicated to a leading scholar in the areas covered in this book, Willi Semmler.

This book focuses on the competitive situation and policy outlook of China's provincial economy in the 13th five-year period. It begins with a general evaluation report on the country's provincial comprehensive Economic Competitiveness, followed by analyses at the international, national and regional levels, industrial and enterprise levels. On the basis of domestic and international research findings, it further enriches our understanding of provincial competitiveness, analyzes the domestic and international situation, explores new changes, new norms, new situations and new challenges concerning China's provincial economy in the past few years, reveals the characteristics and relative differences of different types, defines their internal competitive strengths and weaknesses, and provides valuable theoretical content to guide decision-making.

This proceedings volume presents new methods and applications in applied economics with special interest in advanced cross-section data estimation methodology. Featuring select contributions from the 2019 International Conference on Applied Economics (ICOAE 2019) held in Milan, Italy, this book explores areas such as applied macroeconomics, applied microeconomics, applied financial economics, applied international economics, applied agricultural economics, applied marketing and applied managerial economics. International Conference on Applied Economics (ICOAE) is an annual conference that started in 2008, designed to bring together economists from different fields of applied economic research, in order to share methods and ideas. Applied economics is a rapidly growing field of economics that combines economic theory with econometrics, to analyze economic problems of the real world, usually with economic policy interest. In addition, there is growing interest in the field of applied economics for cross-section data estimation methods, tests and techniques. This volume makes a contribution in the field of applied economic research by presenting the most current research. Featuring country specific studies, this book is of interest to academics, students, researchers, practitioners, and policy makers in applied economics, econometrics and economic policy.

This is the second of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields these volumes provide a unique survey of progress in the discipline.

This text covers the basic theory and computation for mathematical modeling in linear programming. It provides a strong background on how to set up mathematical proofs and high-level computation methods, and includes substantial background material and direction. Paris presents an intuitive and novel discussion of what it means to solve a system of equations that is a crucial stepping stone for solving any linear program. The discussion of the simplex method for solving linear programs gives an economic interpretation to every step of the simplex algorithm. The text combines in a unique and novel way the microeconomics of production with the structure of linear programming to give students and scholars of economics a clear notion of what it means, formulating a model of economic equilibrium and the computation of opportunity cost in the presence of many outputs and inputs.

This report is a partial result of the China's Quarterly Macroeconomic Model (CQMM), a project developed and maintained by the Center for Macroeconomic Research (CMR) at Xiamen University. The CMR, one of the Key Research Institutes of Humanities and Social Sciences sponsored by the Ministry of Education of China, has been focusing on China's economic forecast and macroeconomic policy analysis, and it started to develop the CQMM for purpose of short-term forecasting, policy analysis, and simulation in 2005. Based on the CQMM, the CMR and its partners hold press conferences to release forecasts for China's major macroeconomic variables. Since July, 2006, twenty-six quarterly reports on China's macroeconomic outlook have been presented and thirteen annual reports have been published. This report, the twenty-sixth quarterly report, has been presented at the Forum on China's Macroeconomic Outlook and Press Conference of CQMM on February 26, 2019. This conference was jointly held at Beijing by the CMR and the Economic Information Daily at Xinhua News Agency

This book presents the principles and methods for the practical analysis and prediction of economic and financial time series. It covers decomposition methods, autocorrelation methods for univariate time series, volatility and duration modeling for financial time series, and multivariate time series methods, such as cointegration and recursive state space modeling. It also includes numerous practical examples to demonstrate the theory using real-world data, as well as exercises at the end of each chapter to aid understanding. This book serves as a reference text for researchers, students and practitioners interested in time series, and can also be used for university courses on econometrics or computational finance.

These three volumes contain edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and future directions in a wide range of topics in economics and econometrics. They cover theory and applications and provide a unique survey of progress in the discipline.

This study quantifies the relationships between the economies of the Unites States and Japan on an industrially disaggregated basis. It links two large-scale econometric models of the U.S. and Japan in the framework of the world model system (Project LINK). These models are useful not only for forecasts and aggregate policy studies, but also for detailed investigation of industrial changes and trade policy on sectoral output employment, trade balance, and inflation in both countries. The interactions with other parts of the world are also taken into account. Applications to policy changes and exchange rate variations illustrate the potential of the model system and provide a powerful insight into the operation of two closely integrated economies. A pioneering effort to link quantitatively the relationships between the economies of the United States and Japan, this volume will be of interest to economists and policymakers here and abroad.

Two important new developments have occurred that have significant impact on the evolution of econometrics, namely, the end of the Cold War and the emergence of the information revolution in nearly all economies of the world.

The information revolution has had significant effect on data flows, making them much more timely, accessible, and descriptive of more parts of the economy. At the same time, it has changed the industrial structure of many economies, giving rise to increasing importance of the tertiary sectors (e.g. services). The new generation of hardware and software enables econometricians to handle larger and more complex problems, especially those that are data intensive and computer intrusive.

These major events require reconsideration and redrafting of some of the materials of the original edition.

The present volume retains the original structure of "Lectures on Microeconomic Theory" and takes up principles of constructing dynamic macroeconometric models and their use in economic analyses and forecasting, while introducing many updates, revisions and extensions. The description of the econometric methodology has been limited to specific applications of time series analysis, and the title has been changed to "Principles of Macroeconometric Modeling."

The first four chapters discuss the principles of specifying equations of structural macromodels, covering both developed marked economies, transition economies and world-wide models. The remaining chapters cover some major issues in the use of macromodels. The point of departure is model simulation, especially of the prevailing non-linear models, which is followed by model validation. The analysis of model dynamics covers economic fluctuations and the relevant implications of non-stationarity. The use of macromodels in policy analysis is presented next; it includes multiplier analysis and scenario simulations. The monograph ends up with forecasting being a special case of simulation analysis.

This book is a comprehensive introduction of the reader into the simulation and modelling techniques and their application in the management of organisations. The book is rooted in the thorough understanding of systems theory applied to organisations and focuses on how this theory can apply to econometric models used in the management of organisations. The econometric models in this book employ linear and dynamic programming, graph theory, queuing theory, game theory, etc. and are presented and analysed in various fields of application, such as investment management, stock management, strategic decision making, management of production costs and the lifecycle costs of quality and non-quality products, production quality Management, etc.

A complete guide to the theory and practice of volatility models in financial engineering

Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, "Handbook of Volatility Models and Their Applications" explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency.

Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility:

Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets

Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities

Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures

"Handbook of Volatility Models and Their Applications" is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

The disintegration of Yugoslavia, accompanied by the emergence of new borders, is paradigmatically highlighting the relevance of borders in processes of societal change, crisis and conflict. This is even more the case, if we consider the violent practices that evolved out of populist discourse of ethnically homogenous bounded space in this process that happened in the wars in Yugoslavia in the 1990ies. Exploring the boundaries of Yugoslavia is not just relevant in the context of Balkan area studies, but the sketched phenomena acquire much wider importance, and can be helpful in order to better understand the dynamics of b/ordering societal space, that are so characteristic for our present situation.

This book addresses central issues in evolutionary and Schumpeterian accounts of industrial competition, learning, and innovation. It contains a collection of twelve papers which are oriented toward exploring methodological issues in evolutionary and related scholarship. Reflecting the diversity of work in evolutionary scholarship, a range of methodologies are employed in the papers, including simulation, experiments, and econometric analysis. Some of the papers use well established models to takle new questions and problems. Others introduce entirely new approaches, which the authors indicate are still in a state of infancy and await further development. The collection attempts to raise even more interest in evolutionary economics, to provide some suggestions for future research directions, and to initiate a lively discussion of the issues raised.

This book examines discrete dynamical systems with memory-nonlinear systems that exist extensively in biological organisms and financial and economic organizations, and time-delay systems that can be discretized into the memorized, discrete dynamical systems. It book further discusses stability and bifurcations of time-delay dynamical systems that can be investigated through memorized dynamical systems as well as bifurcations of memorized nonlinear dynamical systems, discretization methods of time-delay systems, and periodic motions to chaos in nonlinear time-delay systems. The book helps readers find analytical solutions of MDS, change traditional perturbation analysis in time-delay systems, detect motion complexity and singularity in MDS; and determine stability, bifurcation, and chaos in any time-delay system.

This book explores the role of national fiscal policies in a selected group of Euro-area countries under the European Economic and Monetary Union (EMU). In particular, the authors characterize the response of output to fiscal consolidations and expansions in the small Euro-area open economies affected by high public and private debt. It is shown that the macroeconomic outcome of fiscal shocks is strongly related to debt levels. The Euro-area countries included in the investigation are Greece, Ireland, Italy, the Netherlands, Spain, and Portugal, over the sample period 1999-2016, i.e., the EMU period. The main econometric tools used in this research are structural vector autoregressive (VAR) models, including panel VAR models. The available literature relating to the subject is also fully reviewed. A further closely investigated topic is the potential spillover effects of German fiscal policies on the selected small Euro-area economies. Moreover, in the perspective of the evolution of the Euro Area towards a full Monetary and Fiscal Union, the authors study the effects of area-wide government spending shocks on aggregate output and other macroeconomic variables during the EMU period. The closing chapter of the book considers evidence on the consequences of austerity policies for European labour markets during recent years.