Modeling and Control of Economic Systems 2001 (eBook)

Front Cover 1
Modeling and Control of Economic Systems 2001 2
Copyright Page 3
CONTENTS 8
PART 1: OPTIMIZATION 12
Chapter 1. Paradigms for Robustness in Controller and Filter Designs 12
Chapter 2. Minimax Algorithms with Applications in Finance and Engineering 24
Chapter 3. Singular Characteristics of the HJBI Equation in State Constraint Optimal Control Problems 30
PART 2: DYNAMIC GAMES 34
Chapter 4. Soft-Constrained Feedback Nash Equilibra 34
Chapter 5. Unique Open Loop Nash Equilibria on the Infinite Time Horizon 40
Chapter 6. A Geometric Approach to Infinite Horizon Linear Quadratic Differential Games 46
Chapter 7. Coordination of Long-Term and Short-Term Payoffs in Dynamic Bimatrix Games 52
Chapter 8. OPTGAME 1.0: A Numerical Algorithm to Determine Solutions for Two-Person Difference Games 58
Chapter 9. Time-Consistent Agreeable Solutions in an Environmental Pollution Game 70
Chapter 10. Competition and Cooperation in International Commercial Fishing 76
Chapter 11. Tariffs vs. Quotas in a Trade Model with Capital Accumulation 80
Chapter 12. Sustainable Growth in a North-South Trade Model 86
Chapter 13. The Stability of Multi-Country Unions: System Theoretic Issues and Policy Implications 92
Chapter 14. Coalitional Behavior in an Open-Loop LQ-Differential Game for the EMU 98
Chapter 15. Paradoxical Degradation of Performance under Nash Non-Cooperative Optimization in Symmetric Network Systems 104
Chapter 16. Effects of Symmetry on Paradoxical Cost Degradation in a Nash Non-Cooperative Network System 110
PART 3: ECONOMETRICS 116
Chapter 17. Maximum Likelihood Estimation of Parameters in State-Space Models 116
Chapter 18. Identification and Analysis of the NAIP Model within a State-Space Framework 122
Chapter 19. Linear Dynamical Models with Time Lags 128
Chapter 20. A Spectral Analysis of the Short-End of the British Term Structure 134
Chapter 21. Specification of VARMA Echelon Form Models 140
Chapter 22. Computer-Automated Single-Equation General-to-Specific Reduction Procedures for Vector Autoregressions 148
Chapter 23. Alternative Models of Adaptive and Near-Rational Expectations - Classification by Bootstrap Filter 154
Chapter 24. A Model for the Optimization of Leasing Rates in the Automotive Market 158
Chapter 25. An Econometric Problem and a Heuristic-Semiotic Solution 164
PART 4: DYNAMIC OVERLAPPING GENERA TIONS GENERAL EQUILIBRIUM MODELS 168
Chapter 26. Endogenous Fertility, Pension Programs and Intergenerational Welfare 168
Chapter 27. Trade and Labor Flows Between Countries with Young and Aging Populations 174
Chapter 28. Asymmetric Population Ageing, Open Economy, and Fiscal Policy 180
Chapter 29. The Inter-Regional Consequences of Population Ageing in Canada 186
PART 5: FINANCE 192
Chapter 30. On a Set-Valued Dynamic Model of Investment Portfolio Reconstruction 192
Chapter 31. Non-Parametric Estimation of Diffusion-Paths Using Wavelet Scaling Methods 198
Chapter 32. Equilibrium and Learning in a Non-Stationary Environment 202
Chapter 33. Self-Adjustment of the Attraction Channel of Stock Market 208
Chapter 34. Corporate Control and Capital Structure Decisions Considering Unobserved Heterogeneity 212
Chapter 35. A Stable Cointegrated VaR Model for Credit Returns with Time-Varying Volatility 218
Chapter 36. Non-Gaussian Distribution for VaR Calculation: An Assessment for the Italian Market 224
Chapter 37. Stable Modeling of Energy Risk 230
Chapter 38. A Comparison of Gaussian and Non-Gaussian Portfolio Choice Models 236
Chapter 39. Modelling a Bio-Pharmaceutical Company as a Compound Option 242
Chapter 40. Regulation and Risk Management in the Greek Financial Markets 248
PART 6: FIRM, SECTORAL AND REGIONAL MODELS 254
Chapter 41. Optimization of Dynamic Models of the Firm 254
Chapter 42. Parametric Sensitivity Analysis of a Realistic Concern Model 260
Chapter 43. Management Support Tool for Complex Production Plant Scenarios 266
Chapter 44. Validation by Simulation of Enterprise Models 272
Chapter 45. Modelling Organizational Coordination 278
Chapter 46. Demand Model of the Automobile Life Cycle Based on Temporal Substitution 284
Chapter 47. Decision Tools for Electricity Transmission Service and Pricing 290
Chapter 48. Investment Dynamics and Long Term Price Trends in Competitive Electricity Markets 296
Chapter 49. Models for Railway Traffic Management 302
Chapter 50. Modeling the Regional Economy: A Regional Econometric Input-Output Approach 308
Chapter 51. Regional Strategy and Sustainable Development 314
PART 7: MACROECONOMIC MODELS 320
Chapter 52. A Stochastic Blanchard Model with a State-of-Market Dependent Reaction Coefficient 320
Chapter 53. The Emergence of the Phillips Curve as an Attractor 326
Chapter 54. Monetary Policy, Non-Uniqueness of Steady States and Hysteresis Effects 334
Chapter 55. A Keynesian Based Econometric Framework for Studying Monetary Policy Rules 340
Chapter 56. Predictive Constrained Policy Generation for Macroeconomic Systems 346
Chapter 57. Growth Determinants of Poland's Economic Potential 352
Chapter 58. Preconditioning in Economic Stochastic Growth Models 360
Chapter 59. An Eco-Efficiency Analysis of an Economy 366
Chapter 60. Macromoli, A World Wide Catalogue of Economic Models 372
PART 8: NEURAL NETWORKS, EXPERT SYSTEMS AND AGENT-BASED MODELS 376
Chapter 61. Short-Term Compumetric Forecast of Crude Oil Prices 376
Chapter 62. Optimal Neuro-Predictive Stabilization Policy for a National Balance Model of Japan 382
Chapter 63. Evolutionary Strategies: A New Macroeconomic Policy Tool? 388
Chapter 64. The Loan Granting Procedure: Artificial Neural Networks, Discriminant Analysis, K-Means Method 394
Chapter 65. Comparative Analysis of Results Obtained by Utilizing Expert Systems and Neural Networks in Financial Analysis 400
Chapter 66. A Fuzzy Expert System for Evaluating University Teaching Efficiency 406
Chapter 67. Validation of Agent-Based Models of Financial Markets 412
Chapter 68. An Agent-Based Approach to Modeling Electricity Spot Markets 418
Chapter 69. Flexible Learning of Optimal Strategies 424
Chapter 70. The Influence of Network Structures in a Model of Technological Evolution 430
Chapter 71. Social Recommendations Rather than Social Values 436
Author Index 442