Bayesian estimation and entropy for economic dynamic stochastic models: an exploration of overconsumption

DOI10.1016/J.CHAOS.2016.03.003MaRDI QIDQ508298zbMATH OpenOpenAlexFDO

Authors Amedeo Argentiero, Maurizio Bovi, Roy Cerqueti

Publication date 10 February 2017

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://openresearch.lsbu.ac.uk/download/d872f8a0696a515ae27fbfa032989eb393c91e64881e736824975021e25f6f64/272766/ABC_revised.pdf

zbMATH Keywords

entropyBayesian estimationbusiness cycledynamic stochastic modelspsychological biases

Mathematics Subject Classification ID

Bayesian inference (62F15) Cognitive psychology (91E10) Consumer behavior, demand theory (91B42) Stochastic models in economics (91B70)

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Cites work

• Bayes Factors
• Boom and bust in continuous time evolving economic model
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• Chaos control in an economic model via minimum entropy strategy
• Coexistence of equilibria in a New Keynesian model with heterogeneous beliefs
• Complexity testing techniques for time series data: a comprehensive literature review
• Effective transfer entropy approach to information flow between exchange rates and stock markets
• Empirical validation of stochastic models of interacting agents
• Estimating Bayes Factors via Posterior Simulation With the Laplace-Metropolis Estimator
• Inflation and relaxation to equilibrium in a complex economic system
• Measuring complexity in a business cycle model of the Kaldor type
• Methods for applied macroeconomic research.
• Modelling and measuring the irrational behaviour of agents in financial markets: discovering the psychological soliton
• Monte Carlo method via a numerical algorithm to solve a parabolic problem
• Monte Carlo simulation for solving Fredholm integral equations
• Real and financial interacting markets: a behavioral macro-model
• Sampling the posterior: an approach to non-Gaussian data assimilation
• Sentiment cycles in discrete-time homogeneous networks

Cited in

(2)

• Complexity in quantitative finance and economics
• A note on the underestimation and overestimation in stochastic input-output models

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