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

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  • Ray Fair

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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File URL: http://icfpub.som.yale.edu/publications/2596
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Bibliographic Info

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
Date of revision: 24 Sep 2001
Handle: RePEc:ysm:somwrk:ysm202

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Web page: http://icf.som.yale.edu/
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  1. Ann-Charlotte Eliasson & Peter Isard & Douglas Laxton, 1999. "Simple Monetary Policy Rules Under Model Uncertainty," IMF Working Papers 99/75, International Monetary Fund.
  2. Ray C. Fair & John B. Taylor, 1991. "Full Information Estimation and Stochastic Simulation of Models with Rational Expectations," NBER Technical Working Papers 0078, National Bureau of Economic Research, Inc.
  3. Dean Croushore & Tom Stark, 1994. "Evaluating McCallum's rule for monetary policy," Working Papers 94-26, Federal Reserve Bank of Philadelphia.
  4. 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.
  5. 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.
  6. Hall, R.E. & Mankiw, N.G., 1993. "Nominal Income Targeting," Harvard Institute of Economic Research Working Papers 1650, Harvard - Institute of Economic Research.
  7. Ray C. Fair & E. Philip Howrey, 1995. "Evaluating Alternative Monetary Policy Rules," Cowles Foundation Discussion Papers 1091, Cowles Foundation for Research in Economics, Yale University.
  8. Fair, Ray C & Taylor, John B, 1983. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 51(4), pages 1169-85, July.
  9. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," CEPR Discussion Papers 1908, C.E.P.R. Discussion Papers.
  10. 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.
  11. Andrew T.. Levin & Volker Wieland & John Williams, 1999. "Robustness of Simple Monetary Policy Rules under Model Uncertainty," NBER Chapters, in: Monetary Policy Rules, pages 263-318 National Bureau of Economic Research, Inc.
  12. John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1.
  13. Glenn D. Rudebusch, 1999. "Is the Fed too timid? Monetary policy in an uncertain world," Working Papers in Applied Economic Theory 99-05, Federal Reserve Bank of San Francisco.
  14. Taylor, John B., 1985. "What would nominal GNP targetting do to the business cycle?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 22(1), pages 61-84, January.
  15. 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, Society for Computational Economics, vol. 15(1-2), pages 25-57, April.
  16. John P. Judd & Brian Motley, 1993. "Using a nominal GDP rule to guide discretionary monetary policy," Economic Review, Federal Reserve Bank of San Francisco, pages 3-11.
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Cited by:
  1. Mihaela SIMIONESCU, 2013. "The Assessment Of Parameter Uncertainty In A Vector Error Correction Model For Romania," Romanian Journal of Economics, Institute of National Economy, vol. 37(2(46)), pages 124-134, December.
  2. Fair, Ray C., 2014. "How might a central bank report uncertainty?," Economics Discussion Papers 2014-25, Kiel Institute for the World Economy.
  3. Kendrick, David A., 2005. "Stochastic control for economic models: past, present and the paths ahead," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 3-30, January.
  4. Anderson, Evan W. & Hansen, Lars Peter & Sargent, Thomas J., 2012. "Small noise methods for risk-sensitive/robust economies," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 468-500.
  5. Charemza, Wojciech & Makarova, Svetlana & Prytula, Yaroslav & Raskina, Julia & Vymyatnina, Yulia, 2009. "A small forward-looking inter-country model (Belarus, Russia and Ukraine)," Economic Modelling, Elsevier, vol. 26(6), pages 1172-1183, November.
  6. Luisa Corrado & Sean Holly, 2006. "The Linearisation and Optimal Control of Large Non-Linear Rational Expectations Models by Persistent Excitation," Computational Economics, Society for Computational Economics, vol. 28(2), pages 139-153, September.

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