The Stochastic Formulation of a Modified Cobweb Model,
Abstract
Much of the economic analysis done today employs either econometric models or autoprojective methods on series of data. This paper examines the connection between these two methods, and demonstrates how formulating an econometric model as a stochastic process can be useful. The basic economic cobweb model for price and quantity is used to generate an autoregressive process for the price series. Analyses are made of the speed with which price equilibrium is achieved. The familiar stability conditions are compared to the stationarity and invertibility conditions of a time series process. Forecast functions are derived, and an example is given to demonstrate how data can be tested to see if the underlying econometric mechanism is relevant.
Document Details
- Document Type
- Technical Report
- Publication Date
- May 16, 1977
- Accession Number
- ADA042737
Entities
People
- Barry D. Nussbaum
- Nozer Singpurwalla
Organizations
- George Washington University