A Bayesian estimation of a stochastic predator-prey model of economic fluctuations

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dc.contributor.author Dibeh, Ghassan
dc.contributor.author Luchinsky, Dmitry G.
dc.contributor.author Luchinskaya, Daria D.
dc.contributor.author Smelyanskiy, Vadim N.
dc.date.accessioned 2017-08-28T08:40:31Z
dc.date.available 2017-08-28T08:40:31Z
dc.date.copyright 2007 en_US
dc.identifier.issn 0277-786X en_US
dc.identifier.uri http://hdl.handle.net/10725/6100
dc.description.abstract In this paper, we develop a Bayesian framework for the empirical estimation of the parameters of one of the best known nonlinear models of the business cycle: The Marx-inspired model of a growth cycle introduced by R. M. Goodwin. The model predicts a series of closed cycles representing the dynamics of labor’s share and the employment rate in the capitalist economy. The Bayesian framework is used to empirically estimate a modified Goodwin model. The original model is extended in two ways. First, we allow for exogenous periodic variations of the otherwise steady growth rates of the labor force and productivity per worker. Second, we allow for stochastic variations of those parameters. The resultant modified Goodwin model is a stochastic predator-prey model with periodic forcing. The model is then estimated using a newly developed Bayesian estimation method on data sets representing growth cycles in France and Italy during the years 1960-2005. Results show that inference of the parameters of the stochastic Goodwin model can be achieved. The comparison of the dynamics of the Goodwin model with the inferred values of parameters demonstrates quantitative agreement with the growth cycle empirical data. en_US
dc.language.iso en en_US
dc.title A Bayesian estimation of a stochastic predator-prey model of economic fluctuations en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOB en_US
dc.author.idnumber 199490150 en_US
dc.author.department Department of Economics (ECON) en_US
dc.description.embargo N/A en_US
dc.relation.journal SPIE - International Society for Optical Engineering. Proceedings en_US
dc.journal.volume 6601 en_US
dc.article.pages 1-9 en_US
dc.keywords Economic fluctuations en_US
dc.keywords Business cycles en_US
dc.keywords Stochastic models en_US
dc.keywords Bayesian estimation en_US
dc.identifier.doi http://dx.doi.org/ 10.1117/12.724764 en_US
dc.identifier.ctation Dibeh, G., Luchinsky, D. G., Luchinskaya, D. D., & Smelyanskiy, V. N. (2007). A Bayesian estimation of a stochastic predator-prey model of economic fluctuations. In Proceedings of SPIE, the International Society for Optical Engineering, 6601, 660115-1-9 en_US
dc.author.email gdibeh@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url https://www.researchgate.net/profile/Dmitry_Luchinsky/publication/235931090_A_Bayesian_estimation_of_a_stochastic_predator-prey_model_of_economic_fluctuations/links/00463526633bb28b0c000000.pdf en_US
dc.author.affiliation Lebanese American University en_US

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