This book deals with the omitted variable tests for a multivariate time-series regression model. What are the consequences of testing for the omission of a variable when the model is dynamically misspecified? What is the small sample bias of the omitted variable test when the model dynamics is correctly specificfied? The answers to these questions are proposed in this book. As an empirical illustration, the analysis is applied to the homogeneity test of a demand system. I particularly thank Professor Dr. Philippe J. Deschamps who draw my attention on this subject and who made very helpful...

In this work, four stylized facts of aggregate economic growth are set up. The process of growth is interpreted to represent transitional dynamics rather than balanced-growth equilibria, and the fundamental importance of subsistence consumption is analyzed.

I first came across the issue of derivatives documentation when writing my diploma thesis on measuring the credit risk ofOTC derivatives while I was an economics student at the University of Bonn. Despite the fact that security design has been an area of research in economics for many years and despite the widespread use of derivatives documentation in financial practice, the task of designing contracts for derivatives transactions has not been dealt with in financial theory. The one thing that aroused my curiosity was that two parties with usually opposing interests, namely banking...

The focus of the work is twofold. First, it provides an introduction into fundamental structural and behavioral aspects of periodic review inventory systems. Second, it includes a comprehensive study on analytical and optimization aspects of a specific class of those systems. For the latter purpose, general solution methods for problems of inventory management in discrete time are described and developed along with highly specialized methods to solve very specific problems related to the model variants examined. The work is thus addressed to students and practitioners who seek a deeper...

'lhe PUIllooes of this study are to investigate processes of cyclical fluctuations, inflation and economic g:t'Oo'lth, and conComitantly, to relate the short-run analysis to the long-run analysis of the econaTY as far as feasible under the confines of this investigation. First of all, we shall present a theory of investnent in Chapter 1. We shall make evident defects included in the neo-classical theory of investnent, founded in particular by I. Fisher and a variant of which is the Keynesian version, by taking into account recent studies of investnent and by formulating a new theory of...

Mathematical models can be classified in a number of ways, e.g., static and dynamic; deterministic and stochastic; linear and nonlinear; individual and aggregate; descriptive, predictive, and normative; according to the mathematical technique applied or according to the problem area in which they are used. In marketing, the level of sophistication of the mathe matical models varies considerably, so that a nurnber of models will be meaningful to a marketing specialist without an extensive mathematical background. To make it easier for the nontechnical user we have chosen to classify the models...

The basic idea behind this book is that in a market economy there is endless variety, people die and are born, new products and processes emerge and old ones disappear etc. Some firms grow others decline. Some people get high salaries others get unemployed. Opportunities, disasters and capabilities are to a large extent random. An economy has a certain amount of resources to divide among its members. These resources may vary over time but the rate of change is fairly small. The number of persons in society may also vary but the rate of change is limited. For a society such as the one...

He consider a cone dominance problem: given a "preference" cone lP and a set n X R of available, or feasible, alternatives, the problem is to identify the non dominated elements of X. The nonzero elements of lP are assumed to model the do- nance structure of the problem so that y s X dominates x s X if Y = x + P for some nonzero p S lP. Consequently, x S X is nondominated if, and only if, ( + lP) n X = (1.1) He will also refer to nondominated points as efficient points (in X with respect to lP) and we will let EF(XJP) denote the set of such efficient points. This cone dominance problem...

The purpose of the present study is to evaluate the predictive performance of an earlier version of the Bonn .. Monetary Hodel ("Ein Okonometrisches Vierteljahresmodell des Geld- und Kreditsektors fur die Bundesrepublik Deutsch- land", by Jorn Martiensen (1975), Heisenheim, Verlag Anton Hain) against the benchmark provided by the Box-Jenkins univariate autoregressive-integrated moving average, ARI~ffi, model. Similar studies aimed at evaluating the predictive performance of the econometric models of the Horti, American economies :,ad been reported earlier. But to the best of my knowledge, no...

The history of the disciplines that led to the development of systems analysis is marked by a curious relationship between static and dynamic approaches. Although lhe imporlance of the dynamical element was recognized quile early on, lhe method chosen, more often than not, was a static equilibrium analysis. One reason for this obviously lies in the mathematical intricacies of non- equilibrium situations. Although Poincare and various other classical authors pointed oul the amazing complexity of some mechanical problems, lhe general lrend, as reflected in the standard texlbooks, was lo ignore...