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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.

Suggested Citation

  • Ray Fair, 2001. "Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations," Yale School of Management Working Papers ysm202, Yale School of Management, revised 24 Sep 2001.
    • Handle: RePEc:ysm:wpaper:ysm202
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    File URL: https://repec.som.yale.edu/icfpub/publications/2596.pdf
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    References listed on IDEAS

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    1. 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 1169-1185, July.
    2. 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 381-392, Oct.-Dec..
    3. 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.
    4. Amman, Hans & Kendrick, David, 1999. "Linear-Quadratic Optimization For Models With Rational Expectations," Macroeconomic Dynamics, Cambridge University Press, vol. 3(4), pages 534-543, December.
    5. John C. Williams, 2003. "Simple rules for monetary policy," Economic Review, Federal Reserve Bank of San Francisco, pages 1-12.
    6. 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;Society for Computational Economics, vol. 15(1-2), pages 25-57, April.
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