Macroeconomic Model of Small Open Economy: Adaptive Parameter Estimation, Behavior Analysis and Optimal Control
AbstractInternal so-called state-space representation of dynamic systems became dominating approach in the control theory in 1960s. This paper focuses on taking advantage of such a system description for dynamic economic system identification as well as on using a quantified economic model in search of suitable strategies for short-run economic development. Solving the filtration, prediction and interpolation tasks expressed by internal system description is conditioned by estimating the states of system on the basis of measured system inputs and outputs. Time-varying parameters of a system are often regarded and handled as states. The identification task is written as a stochastic problem in sense of search for an optimal linear unbiased state estimate. A recursive algorithm called Kalman filter is at our disposal to obtain the above estimate that we evaluate as conditional mean (minimizing variance) of an unknown state on the basis of data set affected by disturbances. Choice of a strategy for short-run economic development is then considered to be an optimal control task defined as two-point boundary problem of discrete-time linear-quadratic control (the optimal output and input trajectories track as close as possible the nominal trajectories entered as "wanted" or "planned"). The paper contains an analytical solution of that problem as well as an algorithm applicable to the control of a controlled economic system's model. Identification and optimal control algorithms have been applied to quarterly econometric model of the Czech economy development.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.
Volume (Year): 5 (1998)
Issue (Month): 8 ()
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jozef Barunik).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.