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Adaptation of stochastic model of economic cycles to empiric data
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Adaptation of stochastic model of economic cycles to empiric data
Annotation
PII
S042473880018968-3-
Publication type
Article
Status
Published
Authors
Viacheslav Karmalita 
Occupation: Private consultant
Affiliation: Dr. Slava Karmalita, Consultant
Address: Canada
Edition
Volume 58 Issue 1
Pages
131-139
Abstract

  to the linear problem of estimating the Yule model factors. The peculiarity of solution to this problem ensures the presence of an optimal discretization of the income function in the form of four samples for the cycle period. It is shown that with such discretization, the highest accuracy of calculated parameter estimates is ensured, that is, the efficiency of the estimates is obtained.

The proposed procedure for adapting the cycle models considers the features of the economic data and provides: 1) recovery of the income function from values of the gross product estimates; 2) extraction of values of a cycle under interest from the recovered data; 3) determination of the time interval of cycle pseudo-stationarity; 4) parameter estimation of the cycle model; 5) accuracy analysis of parameter estimates. The procedure is formally (mathematically) described from the empirical  values of the gross product to getting estimates of cycle parameters. It is applicable for econometric problems of estimating the parameters of systems described by ordinary differential and difference equations of the second order.

Keywords
economic cycles, random oscillations, Yule series, maximum likelihood estimates, pseudo-stationarity
Received
27.02.2022
Date of publication
18.03.2022
Number of purchasers
15
Views
481
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0.0 (0 votes)
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S042473880018968-3-1 Дата внесения правок в статью - 27.02.2022
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References

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