First-Passage Time for Stability Analysis of the Kaldor Model

Abstract

Every economic model should include an estimate of its stability and predictability. A new measure, the first passage time (FPT) which is defined as the time period when the model error first exceeds a pre-determined criterion (i.e., the tolerance level), is proposed here to estimate the model predictability. A theoretical framework is developed to determine the mean and variance of FPT. The classical Kaldor model is taken as an example to show the robustness of using FPT as a quantitative measure for identifying the model stability.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 2006
Accession Number
ADA638494

Entities

People

  • Peter Cheng Chu

Organizations

  • Naval Postgraduate School

Tags

DTIC Thesaurus Topics

  • Boundaries
  • Coefficients
  • Commerce
  • Data Science
  • Differential Equations
  • Dynamics
  • Economic Models
  • Economics
  • Ellipsoids
  • Engineering
  • Equations
  • Errors
  • Information Science
  • Investments
  • Linear Differential Equations
  • Probability Density Functions
  • Random Variables

Fields of Study

  • Mathematics

Readers

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  • Computational Modeling and Simulation
  • Statistical inference.