IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v509y2018icp1102-1109.html
   My bibliography  Save this article

On the simultaneous estimation of delay model parameters in economic dynamics

Author

Listed:
  • Prasolov, Alexander V.

Abstract

Mathematical models in the form of differential equations with a time lag have been widely used in economics, biology, engineering and medicine to model dynamical interactions. In this paper, a heuristic estimation algorithm of delay values is offered in discrete deterministic systems by minimizing the average quadratic deviation for parameter identification. A well-known “predator–prey” model falls within the solution set we offer and is widely used in economics. Obviously, real data requires the analysis of random measurement innovations be taken into account; however, this aspect is not considered for the sake of convenience.

Suggested Citation

  • Prasolov, Alexander V., 2018. "On the simultaneous estimation of delay model parameters in economic dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1102-1109.
    • Handle: RePEc:eee:phsmap:v:509:y:2018:i:c:p:1102-1109
    DOI: 10.1016/j.physa.2018.06.104
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437118308288
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2018.06.104?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Zellner Arnold, 2002. "My Experiences with Nonlinear Dynamic Models in Economics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(2), pages 1-18, July.
    2. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    3. Peter Winker, 2000. "Optimized Multivariate Lag Structure Selection," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 87-103, October.
    4. Ivanov Ventzislav & Kilian Lutz, 2005. "A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-36, March.
    5. Jianhua Z. Huang & Lijian Yang, 2004. "Identification of non‐linear additive autoregressive models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(2), pages 463-477, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Easaw Joshy & Golinelli Roberto, 2010. "Households Forming Inflation Expectations: Active and Passive Absorption Rates," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-32, November.
    2. Fossati, Sebastian, 2012. "Covariate unit root tests with good size and power," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3070-3079.
    3. Michael Cauvel, 2019. "The neo-Goodwinian model reconsidered," Working Papers PKWP1915, Post Keynesian Economics Society (PKES).
    4. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, August.
    5. J. Easaw J. & R. Golinelli, 2009. "Households Forming Inflation Expectations: Who Are the 'Active' and 'Passive' Learners?," Working Papers 675, Dipartimento Scienze Economiche, Universita' di Bologna.
    6. Michael Cauvel, 2019. "The Neo-Goodwinian model, reconsidered," FMM Working Paper 47-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    7. Zamani, Mehrzad, 2007. "Energy consumption and economic activities in Iran," Energy Economics, Elsevier, vol. 29(6), pages 1135-1140, November.
    8. Dal Bianco, Marcos & Camacho, Maximo & Perez Quiros, Gabriel, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 377-396.
    9. Juan Carlos Cuestas, 2009. "Purchasing power parity in Central and Eastern European countries: an analysis of unit roots and nonlinearities," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 87-94.
    10. R. Santos Alimi, 2014. "ARDL Bounds Testing Approach to Cointegration: A Re-Examination of Augmented Fisher Hypothesis in an Open Economy," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 2(2), pages 103-114, June.
    11. Hauser, Shmuel & Kedar-Levy, Haim & Milo, Orit, 2022. "Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation," Journal of Financial Markets, Elsevier, vol. 59(PA).
    12. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
    13. Gomez Zaldivar, M. & Ventosa-Santaularia, D., 2009. "Bilateral Relationship between Consumption and GDP in Mexico and the USA: A Comment," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    14. Grigori Fainstein & Igor Novikov, 2011. "The Comparative Analysis of Credit Risk Determinants In the Banking Sector of the Baltic States," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 20-45, June.
    15. Kumar, Nikeel Nishkar & Patel, Arvind, 2023. "Nonlinear effect of air travel tourism demand on economic growth in Fiji," Journal of Air Transport Management, Elsevier, vol. 109(C).
    16. Venus Khim-Sen Liew & Hock-Ann Lee & Kian-Ping Lim & Huay-Huay Lee, 2008. "Linearity and Stationarity of South Asian Real Exchange Rates," The IUP Journal of Applied Economics, IUP Publications, vol. 0(5), pages 48-58, September.
    17. Vasudeva N. R. Murthy & Emmanuel Anoruo, 2009. "Are Per Capita Real GDP Series in African Countries Non-stationary or Non-linear? What does Empirical Evidence Reveal?," Economics Bulletin, AccessEcon, vol. 29(4), pages 2492-2504.
    18. Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2005. "The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 423-438, August.
    19. Isabel Cortés-Jiménez & Manuel Artís, 2005. "The role of the tourism sector in economic development - Lessons from the Spanish experience," ERSA conference papers ersa05p488, European Regional Science Association.
    20. Dukhanina, Ekaterina & Massol, Olivier & Lévêque, François, 2019. "Policy measures targeting a more integrated gas market: Impact of a merger of two trading zones on prices and arbitrage activity in France," Energy Policy, Elsevier, vol. 132(C), pages 583-593.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:509:y:2018:i:c:p:1102-1109. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.