Econometric Decision Models : New Methods of Modeling and Applications

This volume contains a refereed selection of revised papers which were originally presented at the Second International Conference on Econometric Decision Models, University of Hagen (FernUni­ versitat). The conference was held in Haus Nordhelle, a meeting place in the mountainous area " Sauerland" , some 50 kilometers south of Hagen, on August 29 - September 1, 1989. Some details about this conference are given in the first paper, they need not be repeated here. The 40 papers included in this volume are organized in 10 "parts", shown in the table of contents. Included are such "fashionable" topics like "optimal control", "cointegration" and "rational expec­ tations models". In each part, the papers have been arranged alphabetically by author, unless there were good reasons for a different arrangement. To facilitate the decision making of the readers, all papers (except a few short ones) contain an abstract, a list of keywords and a table of contents. At the end of the proceedings volume, there is a list of authors. More than ten years ago, I began to organize meetings of econometricians, mainly called "seminar" or " colloquium". One major purpose of these meetings has always been to improve international cooperation of econometric model builders (and model users) from "the East" and "the West". Unprecedented changes to the better have taken place recently ("perestroika"). For a large fraction of participants from the Soviet Union, the 1989 conference was the first conference in a Western country.

1: Econometric Decision Models: Introduction to the Conference and Survey of Some Recent Developments.- 1. Introduction to the conference on econometric decision models: for better balanced research and more interdisciplinary and international cooperation.- 2. Some recent developments in policy making with macroeconometric models.- 2: Optimal Control of Econometric Decision Models.- 3. Optimal stabilization with a macroeconometric model for Hungary: investigating the effects of different objective functions and time horizons.- 4. On causality and control in economic systems.- 5. Optimal control of nonlinear stochastic macroeconometric models: an algorithm and an economic example.- 6. Game theoretical approach to optimal control of economic systems.- 7. Nonlinear optimal control simulations of development strategies.- 8. On some properties of the solution of the optimal control problem for the original long-term macroeconomic model.- 3: Multiple Criteria Decision Making (Vector Optimization) with Econometric Models.- 9. Implementing the reference-point approach to multi-criteria decision making in econometric models in the computerprogram LOS.- 10. Optimal economic policy making with an econometric model using interactive methods of vector optimization.- 4: Constructing Objective Scalarvalued Functions for Econometric Decision Models.- 11. Public preferences and their role in the design of economic policy.- 12. Least squares estimation of quadratic preference functions for econometric decision models based on survey data.- 13. Operationalizing a macro-economic preference function.- 14. On constructing objective functions.- 15. Optimal dictatorial and multi-dictatorial choice in Arrow’s model with applications to multicriteria decision making.- 5: Rational and Adaptive Expectations Models.- 16. Rational versus adaptive expectations in present value models.- 17. The Finnish rational expectations QMED model: estimation, dynamic properties and policy results.- 18. Qualms about the linearized expectations hypothesis and variance-bounds studies of the interest rate term structure.- 6: Cointegration: Estimators, Tests and Applications.- 19. The power function of the likelihood ratio test for cointegration.- 20. Long-run relations in a well-defined statistical model for the data generating process. Cointegration analysis of the PPP and the UIP relations for Denmark and Germany.- 21. Interest rate linkages between EC countries participating in the European monetary system: an application of cointegration.- 7: Econometric Estimators and Tests for Various Models and Their Properties.- 22. Estimating the second moments of random coefficients.- 23. Tighter bounds for the effects of ARMA disturbances on tests for regression coefficients.- 24. True vs. nominal size of the F-test in the linear regression model with autocorrelated disturbances.- 25. Asymptotic and small-sample properties of the fixpoint-estimator for rational expectations models.- 26. The analysis of non-metric endogenous variables in latent variable models: The MECOSA approach.- 27. Econometric modelling with interval coefficients — a non-stochastic approach.- 8: Analyzing the Structure and Sensitivity of Econometric Models.- 28. Optimal triangulation of a matrix and a measure of interdependence for a linear econometric equation system.- 29. Evaluating the number of zero eigenvalues in a dynamic model.- 30. Forecast and multiplier sensitivity analysis with respect to changes of structural equations and submodels in dynamic systems.- 31. Structural sensitivity analysis in econometric models: an application to the model of the West Germany textile and apparel industry.- 9: Econometric Modeling of Environmental and Energy Problems.- 32. The optimum price of energy: a thermoeconomic analysis.- 33. Energy resources depletion and economic growth.- 34. Econometric methods as an instrument for estimating external costs per unit of emission: the case of a groundwater model.- 10: Econometric Models of Countries, Markets Etc., Based on Microdata and Macrodata, and Their Performance in Policy Analyses.- 35. Microeconometric research at the Sonderforschungsbereich 3.- 36. Income and price policy making with an econometric model of financial incomes and expenditures of Poland’s population.- 37. Keynesian or classical unemployment in West Germany? — an empirical analysis with a disequilibrium model.- 38. A macroeconometric disequilibrium model for Poland.- 39. Evaluating econometric models: the 1988 forecast of the RWI-business cycle model in retrospect.- 40. The macroeconometric model of the Deutsche Bundesbank — a brief review.- Alphabetical list of authors.