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Adaptive control in the presence of time-varying parameters

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  • Tucci, Marco P.
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 22 (1997)
    Issue (Month): 1 (November)
    Pages: 39-47

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    Handle: RePEc:eee:dyncon:v:22:y:1997:i:1:p:39-47

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    Web page: http://www.elsevier.com/locate/jedc

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    1. Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Cowles Foundation Discussion Papers 564, Cowles Foundation for Research in Economics, Yale University.
    2. Amman, Hans M. & Kendrick, David A., 1994. "Active learning Monte Carlo results," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 18(1), pages 119-124, January.
    3. P.A.V.B. Swamy & P.A. Tinsley, 1976. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Special Studies Papers 78, Board of Governors of the Federal Reserve System (U.S.).
    4. Lars Peter Hansen & Thomas J. Sargent, 1979. "Formulating and estimating dynamic linear rational expectations models," Working Papers 127, Federal Reserve Bank of Minneapolis.
    5. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 1(1), pages 19-46, January.
    6. Elizabeth Chase MacRae, 1972. "Linear Decision with Experimentation," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 4, pages 435-445 National Bureau of Economic Research, Inc.
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    Cited by:
    1. Amman, Hans M. & Kendrick, David A., 2003. "Mitigation of the Lucas critique with stochastic control methods," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(11-12), pages 2035-2057, September.
    2. Marco P. Tucci & David A. Kendrick & Hans M. Amman, 2007. "Expected optimal feedback with Time-Varying Parameters," Department of Economics University of Siena, Department of Economics, University of Siena 497, Department of Economics, University of Siena.
    3. Hans M. Amman & David A. Kendrick, 2003. "A Classification System for Economic Stochastic Control Models," Computing in Economics and Finance 2003 114, Society for Computational Economics.
    4. Marco Tucci, 2006. "Understanding the Difference Between Robust Control and Optimal Control in a Linear Discrete-Time System with Time-Varying Parameters," Computational Economics, Society for Computational Economics, vol. 27(4), pages 533-558, June.
    5. Tucci, Marco P. & Kendrick, David A. & Amman, Hans M., 2010. "The parameter set in an adaptive control Monte Carlo experiment: Some considerations," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(9), pages 1531-1549, September.
    6. D.A. Kendrick & H.M. Amman & M.P. Tucci, 2008. "Learning About Learning in Dynamic Economic Models," Working Papers, Utrecht School of Economics 08-20, Utrecht School of Economics.
    7. Wieland, Volker, 2000. "Learning by doing and the value of optimal experimentation," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(4), pages 501-534, April.
    8. Kendrick, David A., 2005. "Stochastic control for economic models: past, present and the paths ahead," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 29(1-2), pages 3-30, January.

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