Expected optimal feedback with Time-Varying Parameters
AbstractIn this paper we derive, by using dynamic programming, the closed loop form of the Expected Optimal Feedback rule with time varying parameter. As such this paper extends the work of Kendrick (1981, 2002, Chapter 6) for the time varying parameter case. Furthermore, we show that the Beck and Wieland (2002) model can be cast into this framework and can be treated as a special case of this solution.
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Bibliographic InfoPaper provided by Department of Economics, University of Siena in its series Department of Economics University of Siena with number 497.
Date of creation: Feb 2007
Date of revision:
Other versions of this item:
- Marco Tucci & David Kendrick & Hans Amman, 2013. "Expected Optimal Feedback with Time-Varying Parameters," Computational Economics, Society for Computational Economics, vol. 42(3), pages 351-371, October.
- M.P. Tucci & D.A. Kendrick & H.M. Amman, 2011. "Expected optimal feedback with Time-Varying Parameters," Working Papers 11-18, Utrecht School of Economics.
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
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- 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, vol. 34(9), pages 1531-1549, September.
- 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 507, Department of Economics, University of Siena.
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