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A Classification System for Economic Stochastic Control Models

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  • Hans M. Amman
  • David A. Kendrick

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 114.

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Date of creation: 01 Aug 2003
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Handle: RePEc:sce:scecf3:114

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Keywords: stochastic control; feedback control;

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References

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  26. Gunter Coenen, Volker Wieland, Andrew Levin, 2001. "Evaluating Information Variables for Monetary Policy in a Noisy Economic Environment," Computing in Economics and Finance 2001, Society for Computational Economics 131, Society for Computational Economics.
  27. MacRae, Elizabeth Chase, 1975. "An Adaptive Learning Rule for Multiperiod Decision Problems," Econometrica, Econometric Society, Econometric Society, vol. 43(5-6), pages 893-906, Sept.-Nov.
  28. Henderson, Dale W. & Turnovsky, Stephen J., 1972. "Optimal macroeconomic policy adjustment under conditions of risk," Journal of Economic Theory, Elsevier, Elsevier, vol. 4(1), pages 58-71, February.
  29. Tetlow, Robert J. & von zur Muehlen, Peter, 2001. "Simplicity versus optimality: The choice of monetary policy rules when agents must learn," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 25(1-2), pages 245-279, January.
  30. Juillard, Michel, 1996. "Dynare : a program for the resolution and simulation of dynamic models with forward variables through the use of a relaxation algorithm," CEPREMAP Working Papers (Couverture Orange) 9602, CEPREMAP.
  31. Deissenberg, Christophe, 1987. "On the minimax Lyapunov stabilization of uncertain economies," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 11(2), pages 229-234, June.
  32. Tinsley, P A, 1971. "A Variable Adjustment Model of Labor Demand," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(3), pages 482-510, October.
  33. Kaushik Mitra & James Bullard, . "Learning About Monetary Policy Rules," Discussion Papers, Department of Economics, University of York 00/41, Department of Economics, University of York.
  34. Mizrach, Bruce, 1991. "Nonconvexities in a stochastic control problem with learning," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 15(3), pages 515-538, July.
  35. Hans M. Amman & David Kendrick, . "Should Macroeconomic Policy Makers Consider Parameter Covariances?," Computing in Economics and Finance 1997, Society for Computational Economics 8, Society for Computational Economics.
  36. Volker Wieland & Andrew Levin & John C. Williams, 1999. "The Performance of Forward-Looking Monetary Policy Rules under Model Uncertainty," Computing in Economics and Finance 1999, Society for Computational Economics 1153, Society for Computational Economics.
  37. Norman, Alfred L., 1981. "On the control of structural models," Journal of Econometrics, Elsevier, Elsevier, vol. 15(1), pages 13-24, January.
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  40. Turnovsky, Stephen J, 1975. "Optimal Choice of Monetary Instrument in a Linear Economic Model with Stochastic Coefficients," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 7(1), pages 51-80, February.
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  43. Craine, Roger, 1979. "Optimal monetary policy with uncertainty," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 1(1), pages 59-83, February.
  44. 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.
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Citations

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Cited by:
  1. Arnulfo Rodriguez, 2004. "Robust Control: A Note on the Timing of Model Uncertainty," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 24(3), pages 209-221, July.
  2. D. Blueschke & V. Blueschke-Nikolaeva & R. Neck, 2013. "Stochastic Control of Linear and Nonlinear Econometric Models: Some Computational Aspects," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 42(1), pages 107-118, June.
  3. Seong-Hoon Kim, 2011. "Sequential Action and Beliefs under Partially Observable DSGE Environments," CDMA Working Paper Series, Centre for Dynamic Macroeconomic Analysis 201116, Centre for Dynamic Macroeconomic Analysis.
  4. 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.
  5. Viktoria Blüschke-Nikolaeva & Dmitri Blüschke & Reinhard Neck, 2010. "Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application," Working Papers, COMISEF 032, COMISEF.
  6. Arnulfo Rodriguez, 2004. "Robust Control: A Note on the Timing of Model Uncertainty," Computing in Economics and Finance 2004, Society for Computational Economics 147, Society for Computational Economics.
  7. 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.
  8. Marco P. Tucci & David A. Kendrick & Hans M. Amman, 2007. "The Parameter Set in an Adaptive Control Monte Carlo Experiment: Some Considerations," Department of Economics University of Siena, Department of Economics, University of Siena 507, Department of Economics, University of Siena.
  9. Frank Hespeler, 2008. "Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 31(3), pages 207-223, April.

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