Estimation of Multiproduct Models in Economics on the Example of Production Sector of Russian Economy

P. 470–481.

Stankevich I., Alexei Ujegov, Vasilyev S.

The model of the real sector of the Russian economy is presented. It allows for the separate description of GDP and its components by expenditure both in constant and in current prices. Unlike standard macroeconomic models, the model proposed considers a set of Trader agents in addition to Producer agent. Traders are based on a set of CES-functions and allow to decompose the statistics available into a set of unobserved components. The Producer is based on a specific production function that performs well for Russian data and works with financial variables, such as credits and bank accounts. In contrary to the standard approach, the model is not linearized to get estimates of model parameters but is estimated directly using a set of nonlinear equations. The optimization is performed numerically and allows to get both series of unobserved model products and their prices and model parameters. The stability of the solution found is checked on simulated data.

Keywords: макроэкономическое моделирование, потребитель, consumer, nonlinear models, нелинейные модели, mathematical programming, макроэкономика России, producer, macroeconomic modeling, Gross Domestic Product (GDP), производитель

Publication based on the results of: Taking into account the structure evolution of Russian industries under modelling their dynamics » to the final report (Terms of reference 12) (2019)

In book

Optimization and Applications 9th International Conference, OPTIMA 2018, Petrovac, Montenegro, October 1–5, 2018, Revised Selected Papers

Springer International Publishing, 2019.