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Implementing optimal control in cointegrated I(1) structural VAR models

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  • Monti, Francesca V.

Abstract

JEL Classification: C32, C61, E52

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Bibliographic Info

Paper provided by European Central Bank in its series Working Paper Series with number 0288.

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Date of creation: Nov 2003
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Handle: RePEc:ecb:ecbwps:20030288

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Related research

Keywords: optimal control; VAR models;

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  1. Lars Peter Hansen & Ellen R. McGrattan & Thomas J. Sargent, 1994. "Mechanics of forming and estimating dynamic linear economies," Staff Report 182, Federal Reserve Bank of Minneapolis.
  2. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, Spring.
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Cited by:
  1. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.
  2. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.

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