Masanao Aoki's Books

State Space Modeling of Time Series

By: Masanao Aoki

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State Space Modeling of Time Series

By: Masanao Aoki

In this book, the author adopts a state space approach to time series modeling to provide a new, computer-oriented method for building models for vector-valued time series. This second edition has been completely reorganized and rewritten. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. New, fuller descriptions are given of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are newly introduced in this edition in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further new items in this edition include statistical properties of the two types of estimators, more details on multiplier analysis and identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A whole new chapter is devoted to modeling of integrated, nearly integrated and co-integrated time series.

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Page Count

339

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3642758835

ISBN 13

9783642758836

New Approaches to Macroeconomic Modeling

Evolutionary Stochastic Dynamics, Multiple Equilibria, and Externalities as Field Effects

By: Masanao Aoki

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New Approaches to Macroeconomic Modeling

Evolutionary Stochastic Dynamics, Multiple Equilibria, and Externalities as Field Effects

By: Masanao Aoki

This book provides a method for modeling large collections of heterogeneous agents subject to non-pairwise externality called field effects.

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Page Count

312

Publisher

Cambridge University Press

Published Date

ISBN 10

0521637694

ISBN 13

9780521637695

Notes on Economic Time Series Analysis: System Theoretic Perspectives

By: Masanao Aoki

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Notes on Economic Time Series Analysis: System Theoretic Perspectives

By: Masanao Aoki

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 endeavored to present, in as much a self-contained way as practicable, a body of results and techniques in system theory that I judge to be relevant and useful to economists interested in using time series in their research. I have essentially acted as an intermediary and interpreter of system theoretic results and perspectives in time series by filtering out non-essential details, and presenting coherent accounts of what I deem to be important but not readily available, or accessible to economists. For this reason I have excluded from the notes many results on various estimation methods or their statistical properties because they are amply discussed in many standard texts on time series or on statistics.

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Page Count

262

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3642455654

ISBN 13

9783642455650

Reconstructing Macroeconomics

A Perspective from Statistical Physics and Combinatorial Stochastic Processes

By: Masanao Aoki,Hiroshi Yoshikawa

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Reconstructing Macroeconomics

A Perspective from Statistical Physics and Combinatorial Stochastic Processes

By: Masanao Aoki,Hiroshi Yoshikawa

In this book, the authors reconceptualize existing macroeconomics by treating equilibria as statistical distributions, not as fixed points.

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Page Count

353

Publisher

Cambridge University Press

Published Date

ISBN 10

1107634202

ISBN 13

9781107634206

New Approaches to Macroeconomic Modeling

Evolutionary Stochastic Dynamics, Multiple Equilibria, and Externalities as Field Effects

By: Masanao Aoki

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New Approaches to Macroeconomic Modeling

Evolutionary Stochastic Dynamics, Multiple Equilibria, and Externalities as Field Effects

By: Masanao Aoki

This book provides a method for modeling large collections of heterogeneous agents subject to non-pairwise externality called field effects.

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Page Count

312

Publisher

Cambridge University Press

Published Date

ISBN 10

0521637694

ISBN 13

9780521637695

Reconstructing Macroeconomics

A Perspective from Statistical Physics and Combinatorial Stochastic Processes

By: Masanao Aoki,Hiroshi Yoshikawa

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Reconstructing Macroeconomics

A Perspective from Statistical Physics and Combinatorial Stochastic Processes

By: Masanao Aoki,Hiroshi Yoshikawa

In this book, the authors reconceptualize existing macroeconomics by treating equilibria as statistical distributions, not as fixed points.

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Page Count

353

Publisher

Cambridge University Press

Published Date

ISBN 10

1107634202

ISBN 13

9781107634206

Optimization of Stochastic Systems

Topics in Discrete-Time Systems

By: Masanao Aoki

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Optimization of Stochastic Systems

Topics in Discrete-Time Systems

By: Masanao Aoki

Optimization of Stochastic Systems

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Page Count

373

Publisher

Elsevier

Published Date

ISBN 10

1483224058

ISBN 13

9781483224053

Dynamic Analysis Of Open Economies

By: Masanao Aoki

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Dynamic Analysis Of Open Economies

By: Masanao Aoki

Dynamic Analysis of Open Economies focuses on the dynamic behavior of open economies in general, and dynamic interactions among several interconnected economies in particular. The emphasis is on the techniques of dynamic analysis and on the dynamic responses of models of open economies. This book is organized into three sections and consists of 15 chapters that examine how macroeconomic policy instruments affect open economies under flexible exchange rate regimes and the extent to which interdependence of national economies affects assessment of national policy effectiveness in a dynamic context. The behavior of open economies is analyzed not only at the instant of exogenous shocks or changes in instruments, but also after some time has elapsed since the last impacts. In considering the importance of dynamics, the book describes the behavior of a wide range of models and draws general conclusions. A set of techniques associated with variational analysis and perturbation theory is developed and systematically applied to models of open economies. This section also offers an analytical innovation for dealing with models of the world that are composed of several countries and demonstrates the usefulness of path controllability. The remaining chapters are devoted to models of small open economies and two- and multiple-country models of the world, paying particular attention to monetary policy and its distributional effects. Students and practitioners of applied mathematics and econometrics will find this book extremely helpful.

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Page Count

368

Publisher

Elsevier

Published Date

ISBN 10

0323140807

ISBN 13

9780323140805

Book's by Masanao Aoki

State Space Modeling of Time Series

State Space Modeling of Time Series

New Approaches to Macroeconomic Modeling

New Approaches to Macroeconomic Modeling

Notes on Economic Time Series Analysis: System Theoretic Perspectives

Notes on Economic Time Series Analysis: System Theoretic Perspectives

Reconstructing Macroeconomics

Reconstructing Macroeconomics

New Approaches to Macroeconomic Modeling

New Approaches to Macroeconomic Modeling

Reconstructing Macroeconomics

Reconstructing Macroeconomics

Optimization of Stochastic Systems

Optimization of Stochastic Systems

Dynamic Analysis Of Open Economies

Dynamic Analysis Of Open Economies

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