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The Linearisation and Optimal Control of Large Non-Linear Rational Expectations Models by Persistent Excitation

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Author Info
Luisa Corrado
Sean Holly

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10614-006-9043-5
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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 28 (2006)
Issue (Month): 2 (September)
Pages: 139-153
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Handle: RePEc:kap:compec:v:28:y:2006:i:2:p:139-153

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Web page: http://www.springerlink.com/link.asp?id=100248

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Related research
Keywords: persistent excitation; non-linear models; rational expectation; optimal control;

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  1. Klein, Paul, 2000. "Using the generalized Schur form to solve a multivariate linear rational expectations model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1405-1423, September. [Downloadable!] (restricted)
  2. Holly, S. & Zarrop, M. B., 1983. "On optimality and time consistency when expectations are rational," European Economic Review, Elsevier, vol. 20(1-3), pages 23-40, January. [Downloadable!] (restricted)
  3. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July. [Downloadable!] (restricted)
    Other versions:
  4. den Haan, Wouter J & Marcet, Albert, 1990. "Solving the Stochastic Growth Model by Parameterizing Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 31-34, January.
    Other versions:
  5. Arden, Richard, et al, 2000. "The Asymmetric Effects of Monetary Policy: Some Results from a Macroeconometric Model," Manchester School, University of Manchester, vol. 68(4), pages 419-41, Special I. [Downloadable!] (restricted)
  6. Sims, Christopher A, 2002. "Solving Linear Rational Expectations Models," Computational Economics, Springer, vol. 20(1-2), pages 1-20, October. [Downloadable!]
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  7. King, Robert G & Watson, Mark W, 1998. "The Solution of Singular Linear Difference Systems under Rational Expectations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1015-26, November.
  8. Hamid Faruqee & Peter Isard & Douglas Laxton & Eswar Prasad & Bart Turtelboom, 1998. "Multimod Mark III: The Core Dynamic and Steady State Model," IMF Occasional Papers 164, International Monetary Fund. [Downloadable!]
  9. Ray Fair, 2003. "Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations," Computational Economics, Springer, vol. 21(3), pages 245-256, June. [Downloadable!] (restricted)
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  10. F. Brayton & P. Tinsley, 1996. "A guide to FRB/US: a macroeconomic model of the United States," Finance and Economics Discussion Series 96-42, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  11. Hunt, Benjamin & Rose, David & Scott, Alasdair, 2000. "The core model of the Reserve Bank of New Zealand's Forecasting and Policy System," Economic Modelling, Elsevier, vol. 17(2), pages 247-274, April. [Downloadable!] (restricted)
  12. Schmitt-Grohe, Stephanie & Uribe, Martin, 2004. "Solving dynamic general equilibrium models using a second-order approximation to the policy function," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 755-775, January. [Downloadable!] (restricted)
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  13. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, March. [Downloadable!]
  14. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July. [Downloadable!] (restricted)
  15. Hannan, E J, 1971. "The Identification Problem for Multiple Equation Systems with Moving Average Errors," Econometrica, Econometric Society, vol. 39(5), pages 751-65, September. [Downloadable!] (restricted)
  16. Anderson, Gary & Moore, George, 1985. "A linear algebraic procedure for solving linear perfect foresight models," Economics Letters, Elsevier, vol. 17(3), pages 247-252. [Downloadable!] (restricted)
  17. Jess Gaspar & Kenneth L. Judd, 1997. "Solving Large Scale Rational Expectations Models," NBER Technical Working Papers 0207, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  18. Hans M. Amman & David A. Kendrick, 1997. "Linear Quadratic Optimization for Models with Rational Expectations," Tinbergen Institute Discussion Papers 97-102/2, Tinbergen Institute. [Downloadable!]
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