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Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations

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Author Info
Ray C. Fair () (Cowles Foundation)

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Abstract

This paper presents a computationally feasible procedure for the optimal control and stochastic simulation of large nonlinear models with rational expectations under the assumption of certainty equivalence.

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Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm202.

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Date of creation: 20 Jun 2001
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Handle: RePEc:ysm:somwrk:ysm202

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Find related papers by JEL classification:
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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  1. Dean Croushore & Tom Stark, 1994. "Evaluating McCallum's rule for monetary policy," Working Papers 94-26, Federal Reserve Bank of Philadelphia.
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  2. Fair, Ray C. & Howrey, E. Philip, 1996. "Evaluating alternative monetary policy rules," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 173-193, October. [Downloadable!] (restricted)
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  3. Andrew Levin & Volker Wieland & John C. Williams, 1998. "Robustness of simple monetary policy rules under model uncertainty," Finance and Economics Discussion Series 1998-45, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  4. Binder, Michael & Pesaran, M Hashem & Samiei, S Hossein, 2000. "Solution of Nonlinear Rational Expectations Models with Applications to Finite-Horizon Life-Cycle Models of Consumption," Computational Economics, Springer, vol. 15(1-2), pages 25-57, April. [Downloadable!]
  5. Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Cowles Foundation Discussion Papers 564, Cowles Foundation, Yale University. [Downloadable!]
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  6. Martin Feldstein & James H. Stock, 1993. "The Use of Monetary Aggregate to Target Nominal GDP," NBER Working Papers 4304, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Todd E. Clark, 1994. "Nominal GDP targeting rules: can they stabilize the economy?," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 11-25. [Downloadable!]
  8. Glenn D. Rudebusch, 2001. "Is The Fed Too Timid? Monetary Policy In An Uncertain World," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 203-217, May. [Downloadable!] (restricted)
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  9. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules And Macroeconomic Stability: Evidence And Some Theory," The Quarterly Journal of Economics, MIT Press, vol. 115(1), pages 147-180, February. [Downloadable!] (restricted)
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  10. Hall, R.E. & Mankiw, N.G., 1993. "Nominal Income Targeting," Harvard Institute of Economic Research Working Papers 1650, Harvard - Institute of Economic Research.
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  11. Fair, Ray C & Taylor, John B, 1990. "Full Information Estimation and Stochastic Simulation of Models with Rational Expectations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(4), pages 381-92, Oct.-Dec.. [Downloadable!] (restricted)
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  12. 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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  1. Luisa Corrado & Sean Holly, 2006. "The Linearisation and Optimal Control of Large Non-Linear Rational Expectations Models by Persistent Excitation," Computational Economics, Springer, vol. 28(2), pages 139-153, September. [Downloadable!] (restricted)
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