Download Discrete Time Dynamic Economic Models: Theory and Empirical by Brian Ferguson, Guay Lim PDF

By Brian Ferguson, Guay Lim

Monetary habit is inherently dynamic. whereas issues switch constantly over the years, a lot of monetary research is predicated on discrete time, resembling a month, zone or a 12 months reflecting the periodic nature of data-collecting and decision-making.

This ebook introduces and develops the recommendations of discrete time modelling beginning with first order distinction equation types and build up to structures of distinction equations, alongside the way in which masking such themes as:

* Non-linear distinction equation modles * Random walks and chaotic tactics * Optimisation in discrete time versions

This well-written and simple to persist with booklet can be basically of curiosity to higher point scholars undertaking fiscal modelling. the character of the book--bridging a spot among economics and econometric literature--will suggest that also is of curiosity to all lecturers with an curiosity in econometrics and mathematical economics.

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Extra info for Discrete Time Dynamic Economic Models: Theory and Empirical Applications

Example text

The value of r t will necessarily change over time, unless r = 0 or r = 1. Excluding those cases, if r > 1, then as time passes, r t will get steadily bigger. On the other hand, if r < 1, a positive fraction (since r is not negative), then as time passes, r t will converge on zero. 28) will follow a regular cyclical path of constant amplitude and frequency, with each of its elements cycling around zero but not tending to converge or diverge, and with specific values repeating at regular intervals forever.

Ultimately, in fact, the unstable part will be so much bigger than the stable part that the system will appear virtually to be moving along a trajectory driven by a single, unstable root of value λ2 . We say ‘ultimately’ because it is quite possible for the system initially to appear to be following a stable path – that is, a path to a stable equilibrium. Suppose we have the case which we have just been discussing, suppose that both A1 and A2 are positive, and suppose that A1 turns out to be very large and A2 to be very small in absolute value.

41) In the first-order case we had a single unknown constant to solve for, so we needed a single piece of outside information – a single initial condition. This time we have two constants to solve for so we need two initial conditions. As in the first-order case there are many possible initial conditions, but, as in the first-order case, the 44 Second-order difference equations most common pieces of information are indeed initial – we usually assume that we know the actual value of Yt at t = 0 and t = 1.

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