Method to Simultaneously Determine Stock, Flow, and Parameter Values in Large Stock Flow Consistent Models
University of Pavia
Gnanonobodom Tiou-Tagba Aliti
University of Limerick - Kemmy Business School
University of Limerick
June 28, 2012
Stock ﬂow consistent macroeconomic models suffer from the lack of a coherent estimation method due to the complicated nature of the modeling process. This paper provides a candidate estimation method that determines the values of each stock and flow simultaneously by analytically solving any stock flow model, and converting the estimation into a global minimization problem in p − k dimensions. We describe the method and apply it to a canonical model using real-world data. The method estimates the parameters and flows reliably.
Number of Pages in PDF File: 24
Keywords: instability, ﬁnance, estimation, stock flow consistent models
JEL Classification: E32, E37, E51, G33working papers series
Date posted: June 30, 2012
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