This book analyzes how a large but finite number of agents interact, and what sorts of macroeconomic statistical regularities or patterns may evolve from these interactions. By keeping the number of agents finite, the book examines situations such as fluctuations about equilibria, multiple equilibria and asymmetrical cycles of models which are caused by model states stochastically moving from one basin of attraction to another. All of these are not tractable using traditional deterministic modeling approaches. The book also discusses how agents may form clusters with stationary distributions...

This book contributes substantively to the current state of the art of macroeconomic modeling by providing a method for modeling large collections of heterogeneous agents subject to nonpairwise externality called field effects, i.e. feedback of aggregate effects on individual agents or agents using state-dependent strategies. Adopting a level of microeconomic description that keeps track of compositions of fractions of agents by "types" or "strategies," time evolution of the microeconomic states is described by (backward) Chapman-Kolmogorov equations.

This book analyzes how a large but finite number of agents interact, and what sorts of macroeconomic statistical regularities or patterns may evolve from these interactions. By keeping the number of agents finite, the book examines situations such as fluctuations about equilibria, multiple equilibria and asymmetrical cycles of models which are caused by model states stochastically moving from one basin of attraction to another. All of these are not tractable using traditional deterministic modeling approaches. The book also discusses how agents may form clusters with stationary distributions...

The authors treat macroeconomic models as composed of large numbers of micro-units or agents of several types and explicitly discuss stochastic dynamic and combinatorial aspects of interactions among them. In mainstream macroeconomics sound microfoundations for macroeconomics have meant incorporating sophisticated intertemporal optimization by representative agents into models. Optimal growth theory, once meant to be normative, is now taught as a descriptive theory in mainstream macroeconomic courses. In neoclassical equilibria flexible prices led the economy to the state of full employment...

In seminars and graduate level courses I have had several opportunities to discuss modeling and analysis of time series with economists and economic graduate students during the past several years. These experiences made me aware of a gap between what economic graduate students are taught about vector-valued time series and what is available in recent system literature. Wishing to fill or narrow the gap that I suspect is more widely spread than my personal experiences indicate, I have written these notes to augment and reor- ganize materials I have given in these courses and seminars. I have...

This book consists of three parts: Part One is composed of two introductory chapters. The first chapter provides an instrumental varible interpretation of the state space time series algorithm originally proposed by Aoki (1983), and gives an introductory account for incorporating exogenous signals in state space models. The second chapter, by Havenner, gives practical guidance in apply ing this algorithm by one of the most experienced practitioners of the method. Havenner begins by summarizing six reasons state space methods are advanta geous, and then walks the reader through construction...