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Computing the Steady State of Linear Quadratic Optimization Models with Rational Expectations

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  • Hans M. Amman

    ()
    (Eco, U. of Amsterdam)

  • David A. Kendrick

    ()
    (Eco, U. of Texas)

Abstract

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Bibliographic Info

Paper provided by The University of Texas at Austin, Center for Applied Research in Economics in its series CARE Working Papers with number 9707.

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Length: 9 pages
Date of creation: Jul 1997
Date of revision:
Handle: RePEc:tex:carewp:9707

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Web page: http://www.utexas.edu/cola/depts/economics/
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Related research

Keywords: Macroeconomics; Rational Expectations; stochastic optimization; numerical experiments;

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References

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  1. Amman, Hans & Kendrick, David, 1999. "Linear-Quadratic Optimization For Models With Rational Expectations," Macroeconomic Dynamics, Cambridge University Press, vol. 3(04), pages 534-543, December.
  2. 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.
  3. Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models," NBER Technical Working Papers 0005, National Bureau of Economic Research, Inc.
  4. Hans M. Amman & David A. Kendrick & Heinz Neudecker, . "Numerical Steady State Solutions for Nonlinear Dynamic Optimization Models," Computing in Economics and Finance 1996 _003, Society for Computational Economics.
  5. Fisher, P. G. & Holly, S. & Hughes Hallett, A. J., 1986. "Efficient solution techniques for dynamic non-linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 10(1-2), pages 139-145, June.
  6. Amman, Hans M. & Kendrick, David A. & Achath, Sudhakar, 1995. "Solving stochastic optimization models with learning and rational expectations," Economics Letters, Elsevier, vol. 48(1), pages 9-13, April.
  7. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, January.
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Citations

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Cited by:
  1. Frank Hespeler, 2008. "Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design," Computational Economics, Society for Computational Economics, vol. 31(3), pages 207-223, April.
  2. Amman, Hans M. & Kendrick, David A., 2003. "Mitigation of the Lucas critique with stochastic control methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11), pages 2035-2057.
  3. Hans M. Amman & David A. Kendrick, 1997. "Linear Quadratic Optimization for Models with Rational Expectations," CARE Working Papers 9708, The University of Texas at Austin, Center for Applied Research in Economics.

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