First-passage time for stability analysis of the Kaldor model
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Authors
Chu, Peter C.
Subjects
Advisors
Date of Issue
2006
Date
2006
Publisher
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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.
Type
Article
Description
Chaos, Solitons and Fractals
The article of record as published may be located at http://dx.doi.org/10.1016/j.chaos.2005.04.115
The article of record as published may be located at http://dx.doi.org/10.1016/j.chaos.2005.04.115
Series/Report No
Department
Oceanography
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Citation
Chu, P.C., 2006: First-passage time for stability analysis of the Kaldor model (paper download). Chaos, Solitons and Fractals, 27, 1355-1368.
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This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.