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This book has two components: stochastic dynamics and stochastic random combinatorial analysis. The first discusses evolving patterns of interactions of a large but finite number of agents of several types. Changes of agent types or their choices or decisions over time are formulated as jump Markov processes with suitably specified transition rates: optimisations by agents make these rates generally endogenous. Probabilistic equilibrium selection rules are also discussed, together with the distributions of relative sizes of the bases of attraction. As the number of agents approaches infinity, we recover deterministic macroeconomic relations of more conventional economic models. The second component analyses how agents form clusters of various sizes. This has applications for discussing sizes or shares of markets by various agents which involve some combinatorial analysis patterned after the population genetics literature. These are shown to be relevant to distributions of returns to assets, volatility of returns, and power laws
This book contributes substantively to state-of-the-art macroeconomic modeling by providing a method for modeling large collections of heterogeneous agents subject to non-pairwise externality called field effects, i.e. feedback of aggregate effects on individual agents or agents using state-dependent strategies. Adopting a level of microeconomic description which keeps track of compositions of fractions of agents by 'types' or 'strategies', time evolution of the microeconomic states is described by (backward) Chapman-Kolmogorov equations. Macroeconomic dynamics naturally arise by expansion of the solution in some power series of the number of participants. Specification of the microeconomic transition rates thus leads to macroeconomic dynamic models. This approach provides a consistent way for dealing with multiple equilibria of macroeconomic dynamics by ergodic decomposition and associated calculations of mean first passage times, and stationary probabilities of equilibria further provide useful information on macroeconomic behavior
In: Economic Theory, econometrics, and mathematical economics
In: Lecture notes in economics and mathematical systems 220
In: Lecture Notes in Economics and Mathematical Systems 220
1 Introduction -- 2 The Notion of State -- 3 Time-invariant Linear Dynamics -- 3.1 Continuous time systems -- 3.2 Inverse systems -- 3.3 Discrete-time sequences -- 4 Time Series Representation -- 5 Equivalence of ARMA and State Space Models -- 5.1 AR models -- 5.2 MA models -- 5.3 ARMA models -- Examples -- 6 Decomposition of Data into Cyclical and Growth Components -- 6.1 Reference paths and variational dynamic models -- 6.2 Log-linear models as variational models -- 7 Prediction of Time Series -- 7.1 Prediction space -- 7.2 Equivalence -- 7.3 Cholesky decomposition and innovations -- 8 Spectrum and Covariances -- 8.1 Covariance and spectrum -- 8.2 Spectral factorization -- 8.3 Computational aspects -- Sample covariance Matrices -- Example -- 9 Estimation of System Matrices: Initial Phase -- 9.1 System matrices -- 9.2 Approximate model -- 9.3 Rank determination of Hankel matrices: singular value decomposition theorem -- 9.4 Internally balanced model -- example -- 9.5 Inference about the model order -- 9.6 Choices of basis vectors -- 9.7 State space model -- 9.8 ARMA (input-output) model -- 9.9 Canonical correlation -- 10 Innovation Processes -- 10.1 Orthogonal projection -- 10.2 Kaiman filters -- 10.3 Innovation model -- 10.4 Output statistics Kaiman filter -- 10.5 Spectral factorization -- 11 Time Series from Intertemporal Optimization -- 11.1 Example: dynamic resource allocation problem -- 11.2 Quadratic regulation problems -- 11.3 Parametric analysis of optimal solutions -- 12 Identification -- 12.1 Closed-loop systems -- 12.2 Identifiability of a closed-loop system -- 13 Time Series from Rational Expectations Models 140 -- 13.1 Moving Average processes -- 13.2 Autoregressive processes -- 13.3 ARMA models -- 13.4 Examples -- 14 Numerical Examples -- Mathematical Appendices -- References.
In: Discussion paper no. 121
In: Discussion paper no. 114
In: Discussion paper no. 113
In: Journal of economic dynamics & control, Volume 32, Issue 1, p. 66-84
ISSN: 0165-1889
In: Journal of economic dynamics & control, Volume 18, Issue 3-4, p. 865-877
ISSN: 0165-1889
In: Journal of economic dynamics & control, Volume 12, Issue 2-3, p. 595-607
ISSN: 0165-1889