Showing papers in "ULB Institutional Repository in 1984"

Spectral factorization of nonstationary moving average processes

Abstract: We solve here the general nonstationary multivariate MA spectral factorization problem, i.e. the problem of obtaining all the possible MA models (with time-dependent coefficients) corresponding to a given (time-dependent) autocovariance function. Our result (Theorem 8) relies on a symbolic generalization (Theorem 1) of the classical factorization property of the characteristic polynomial associated with stationary autocovariance functions, and is obtained by means of a matrix extension of ordinary continued fractions. We also give necessary and sufficient conditions for an autocovariance function to be an MA autocovariance function and for a process to be an MA one (Theorems 6 and 7).

Equilibrium and prices in multisector models

Abstract: Publisher Summary This chapter discusses equilibrium and prices in multisector models. It is convenient to describe a general equilibrium model in terms of its (1) actors, (2) behavioral rules, (3) institutional structure, (4) signals, (5) system constraints, and (6) maximand (in an optimizing model). Multisector models have come a long way from the early static input-output model. Throughout their development, there has always been a tension between empirical practice and available theory. Recently, with the rapid advances in solution algorithms, the gap between the development of new theoretical models and the ability to implement them empirically has narrowed considerably. Indeed, recent models are operating on the border between macro- and microtheory, where there are many theoretical inconsistencies and no widely accepted reconciliation. There are many macromodels in which nominal wages or the exchange rate is assumed to be fixed or to vary to achieve some notion of macrobalance. While they have been widely used to simulate perfectly competitive markets, there are also many examples of multisector general equilibrium models that embody structuralist elements, such as behavioral rigidities or constraints on the operation of important markets.