عنوان

Computational Economics and Econometrics

(Number (ISBN

9401053944

(Number (ISBN

9401131627

(Number (ISBN

9789401053945

(Number (ISBN

9789401131629

Number

b595804

Title Proper

Computational Economics and Econometrics

General Material Designation

[Book]

First Statement of Responsibility

edited by Hans M. Amman, David A. Belsley, Louis F. Pau.

Place of Publication, Distribution, etc.

Dordrecht

Name of Publisher, Distributor, etc.

Springer Netherlands

Date of Publication, Distribution, etc.

1992

Series Title

Advanced Studies in Theoretical and Applied Econometrics, 22

Text of Note

One: Econometrics.- Likelihood evaluation for dynamic latent variables models.- Global optimization of statistical functions: Preliminary results.- On efficient exact maximum likelihood estimation of high-order multivariate ARMA models.- Efficient computation of stochastic coefficients models.- The degree of effective identification and a diagnostic measure for assessing it.- Two: Model stimulation and Optimization.- A splitting equilibration algorithm for the computation of large-scale constrained matrix problems: Theoretical analysis and applications.- Nonstationary model solution techniques and the USA algorithm.- Implementing no-derivative optimizing procedures for optimization of econometric models.- Information in a Stackelberg game between two players holding different theoretical views: Solution concepts and an illustration.- Exchange rate uncertainty in imperfect markets: A simulation approach.- Authors' index.

Text of Note

The field of Computational Economics is a fast growing area. Due to the limitations in analytical modeling, more and more researchers apply numerical methods as a means of problem solving. In tum these quantitative results can be used to make qualitative statements. This volume of the Advanced Series in Theoretical and Applied and Econometrics comprises a selected number of papers in the field of computational economics presented at the Annual Meeting of the Society Economic Dynamics and Control held in Minneapolis, June 1990. The volume covers ten papers dealing with computational issues in Econo metrics, Economics and Optimization. The first five papers in these proceedings are dedicated to numerical issues in econometric estimation. The following three papers are concerned with computational issues in model solving and optimization. The last two papers highlight some numerical techniques for solving micro models. We are sure that Computational Economics will become an important new trend in Economics in the coming decade. Hopefully this volume can be one of the first contributions highlighting this new trend. The Editors H.M. Amman et a1. (eds), Computational Economics and Econometrics, vii. © 1992 Kluwer Academic Publishers. PART ONE ECONOMETRICS LIKELIHOOD EVALUATION FOR DYNAMIC LATENT VARIABLES 1 MODELS DAVID F. HENDRY Nuffield College, Oxford, U.K. and JEAN-FRANc;mS RICHARD ISDS, Pittsburgh University, Pittsburgh, PA, U.S.A.

Econometrics.

Economics.

Systems theory.

Class number

Book number

edited by Hans M. Amman, David A. Belsley, Louis F. Pau.

David A Belsley

Hans M Amman

Louis F Pau

Electronic name

[Book]

Y