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MONEY AND OUTPUT INTERRACTION IN NIGERIA

NWAOBI, DR.GODWIN CHUKWUDUM - EconWPA - 2004

THIS PAPER DERIVES AND ESTIMATES A BARRO-TYPE REDUCED-FORM EQUATION FOR DOMESTIC REAL OUTPUT FROM A SIMPLE STRUCTURAL MODEL OF AN OPEN DEVELOPING ECONOMY IN WHICH MARKETS CLEAR CONTINUOUSLY AND EXPECTATIONS ARE RATIONAL. THE FORM IN WHICH OPEN ECONOMY VARIABLES APPEARED WAS EXPLICITLY DERIVED...

Persistent link: https://www.econbiz.de/10005561194

Uncertainty, Indeterminacy and Shannon's Derivation of Entropy: Implications for Policy Administration - A Systems Theoretical Approach

Author: A.G. Perison - EconWPA - 2001

Most prices and interest rates display fluctuating levels that embody extractable energy and equivalent amounts of money. Such fluctuations are also associated with varying degrees of uncertainty. Shannon's derivations of spectral entropy and information content offer computational techniques...

Persistent link: https://www.econbiz.de/10005561278

Valid Confidence Intervals and Inference in the Presence of Weak Instruments

Nelson, Charles R.; Startz, Richard; Zivot, Eric - EconWPA - 1996

We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald …

Persistent link: https://www.econbiz.de/10005407967

System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets

Los, Cornelis A - EconWPA - 2004

This paper analyzes the systematic relationship between the stock market valuations, the nominal GDPs and the interest rates of six Asian countries, using not 'single equation regression,' but an alternative methodology based on complete, multidirectional, least squares projections. We compare...

Persistent link: https://www.econbiz.de/10005408169

Systems Theory of Macroeconomics, Introduction to

Perison, A.G. - EconWPA - 2001

In spite of elaborate descriptive and correlational studies, the most ubiquitous phenomenon in economics, namely inflation, has remained unexplained in terms of its mathematical origins. Keynes had attempted to relate inflation to a mechanism of "sticky wages and prices". Hitherto, such theories...

Persistent link: https://www.econbiz.de/10005412616

Strongly Consistent Determination of the Rank of Matrix

Ratsimalahelo, Zaka - EconWPA - 2003

In this paper, we develop methods of the determination of the rank of random matrix. Using the matrix perturbation theory to construct or find a suitable bases of the kernel (null space) of the matrix and to determine the limiting distribution of the estimator of the smallest singular values. We...

Persistent link: https://www.econbiz.de/10005062540

Model Uncertainty, Complexity and Rank in Finance

Los, Cornelis A. - EconWPA - 2004

There are three crucial mathematical system concepts in Finance, which are either being confused or misapplied - uncertainty, complexity and rank. First, the concept of epistemic uncertainty is sufficient for modeling and the concept of probability is unnecessary. This is illustrated by...

Persistent link: https://www.econbiz.de/10005119076

Improved Inference for the Instrumental Variable Estimator

Startz, Richard; Nelson, Charles; Zivot, Eric - EconWPA - 1999

It is now well known that standard asymptotic inference techniques for instrumental variable estimation perform very … parameter of interest. We present an improved technique for inference on structural parameters based on reduced form estimates … regions. In addition to providing improved inference for instrumental variable estimation, the technique suggested here may be …

Persistent link: https://www.econbiz.de/10005119135

Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market

Radchenko, Stanislav - EconWPA - 2004

Using Markov Chain Monte Carlo algorithms within the limited information Bayesian framework, we estimate the parameters of the structural equation of interest and test weak exogeneity in a simultaneous equation model with white noise as well as autocorrelated error terms. A numerical example and...

Persistent link: https://www.econbiz.de/10005119187

A Self-Consistent Model for the Forward Price Dynamics

Makhankov, Vlad - EconWPA - 2003

We consider mean-reverting stochastic processes and build a self- consistent model for forward price dynamics and their applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations of stochastic differential geometry in order...

Persistent link: https://www.econbiz.de/10005124894