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Recursive macroeconomic theory
Much of this book is about how to use recursive methods to study macroeconomics. Recursive methods are very important in the analysis of dynamic systems in economics and other sciences. They originated after World War II in diverse literatures promoted by Wald (sequential analysis), Bellman (dynamic programming), and Kalman (Kalman filtering). Dynamics Dynamics studies sequences of vectors of random variables indexed by time, called time series. Time series are immense objects, with as many components as the number of variables times the number of time periods. A dynamic economic model characterizes and interprets the mutual covariation of all of these components in terms of the purposes and opportunities of economic agents. Agents choose components of the time series in light of their opinions about other components. Recursive methods break a dynamic problem into pieces by forming a sequence of problems, each one being a constrained choice between utility today and utility tomorrow. The idea is to find a way to describe the position of the system now, where it might be tomorrow, and how agents care now about where it is tomorrow. Thus, recursive methods study dynamics indirectly by characterizing a pair of functions: a transition function mapping the state today into the state tomorrow, and another function mapping the state into the other endogenous variables of the model. The state is a vector of variables that characterizes the system?s current position. Time series are generated from these objects by iterating the transition law. ? xx ? Preface to the third edition xxi Recursive approach Recursive methods constitute a powerful approach to dynamic economics due to their described focus on a tradeoff between the current period?s utility and a continuation value for utility in all future periods. As mentioned, the simplification arises from dealing with the evolution of state variables that capture the consequences of today?s actions and events for all future periods, and in the case of uncertainty, for all possible realizations in those future periods. Not only is this a powerful approach to characterizing and solving complicated problems, but it also helps us to develop intuition, conceptualize, and think about dynamic economics. Students often find that half of the job in understanding how a complex economic model works is done once they understand what the set of state variables is. Thereafter, the students are soon on their way to formulating optimization problems and transition equations. Only experience from solving practical problems fully conveys the power of the recursive approach. This book provides many applications. Still another reason for learning about the recursive approach is the increased importance of numerical simulations in macroeconomics, and most computational algorithms rely on recursive methods. When such numerical simulations are called for in this book, we give some suggestions for how to proceed but without saying too much on numerical methods.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| Tan 339. 015 113 Lju r | PSB lt.dasar - Pascasarjana | 0 |
| Penerbit | London The MIT Press., 2004 |
|---|---|
| Edisi | - |
| Subjek | Ada di PPIE SALEMBA |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |