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1993 | nr 647 | 211
Tytuł artykułu

Ekonometryczne modelowanie procesów gospodarczych : modelowanie ze zmiennymi i losowymi parametrami

Treść / Zawartość
Warianty tytułu
Econometric Modeling Of Economic Phenomena : Models with Varying and Random Coefficients
Języki publikacji
PL
Abstrakty
Celem pracy jest uporządkowanie dostępnych konstrukcji i wskazanie na typowe sytuacje praktyczne, w których omawiane modele mogą być zastosowane. Wskazano także zespoły założeń przyjmowane przy konstrukcji, estymacji i testowaniu różnych modeli. Omówiono również trudności pojawiające się w aplikacji modeli ze zmiennymi parametrami. Autor zgromadził ogromną liczbę informacji bibliograficznych literatury na badany temat w bazie danych (dBase) i może ją udostępnić na dyskietce.
EN
The book contains a comprehensive survey of various econometric model formulations in which it is assummption is accepted that coefficients may vary across observations. Wide argument for econometric models formulation with varying parameters is given. The classification covering all possible construct ions with fixed and Varying coefficients is proposed. Depending on the accepted parameter variation structure one may classify such models into several groups: models with fixed parameters; models with variable but nonstochastic parameters; and models with randomly varying coefficients. The latter group consists of two types - models where coefficients are generated from stationary and models in which parameters are generated from nonstationary processes. All three groups are surveyed. Additionally the fourth type of constructions with the parameter variation allowed - those based on the bayesian methods - are mentioned. Several representative models from each group are shown. Special emphasis is placed on estimation, testing the specification and possible fields of implementation. Justification for the various model formulations is given. Numerical examples of possible implementations of some models illustrates the practical problems arising while modeling economic phenomena. A detailed list of references covering books, articles and unpublished contributions in polish, english and german languages ends the survey. (original abstract)
Twórcy
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