Method to Simultaneously Determine Stock, Flow, and Parameter Values in Large Stock Flow Consistent Models

24 Pages Posted: 30 Jun 2012

See all articles by Antoine Godin

Antoine Godin

Centre d'économie de l'Université de Paris Nord (CEPN); Agence Française de Développement (AFD); Hans-Boeckler-Stiftung - Macroeconomic Policy Institute (IMK)

Gnanonobodom Tiou-Tagba Aliti

University of Limerick - Kemmy Business School

Stephen Kinsella

University of Limerick

Date Written: June 28, 2012

Abstract

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.

Keywords: instability, finance, estimation, stock flow consistent models

JEL Classification: E32, E37, E51, G33

Suggested Citation

Godin, Antoine and Tiou-Tagba Aliti, Gnanonobodom and Kinsella, Stephen, Method to Simultaneously Determine Stock, Flow, and Parameter Values in Large Stock Flow Consistent Models (June 28, 2012). Available at SSRN: https://ssrn.com/abstract=2094996 or http://dx.doi.org/10.2139/ssrn.2094996

Antoine Godin (Contact Author)

Centre d'économie de l'Université de Paris Nord (CEPN) ( email )

UMR7115
Université Paris-Nord
Paris XIII
France

Agence Française de Développement (AFD) ( email )

5, rue Roland Barthes
Paris Cedex 12, 75598
France

Hans-Boeckler-Stiftung - Macroeconomic Policy Institute (IMK) ( email )

Hans-Böckler-Straße 39
40476 Düsseldorf
Germany

Gnanonobodom Tiou-Tagba Aliti

University of Limerick - Kemmy Business School ( email )

Limerick
Ireland

Stephen Kinsella

University of Limerick ( email )

Limerick
Ireland
+35361233611 (Phone)
+35361330316 (Fax)

HOME PAGE: http://stephenkinsella.net

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