IDEAS home Printed from https://ideas.repec.org/a/czx/journl/v5y1998i7id54.html
   My bibliography  Save this article

The Czech Economy Model: Bayesian Quantitative Analysis of Parameters and Control of Strategies

Author

Listed:
  • Osvald Vašíček
  • Jaromír Beneš

Abstract

Facilities of adaptive Bayesian identification as well as utilizing a suitably-rebui1t linearized model as a model controlled by an optimal control system will be demonstrated in this paper. Estimation of time-variant parameters was performed by mean of extended Kalman-Bucy fi1ter with smoothing on base of rather short quarterly time series (dated from 1992, quarter I, to 1996, quarter II), that are not purged of neither seasonalities nor quick jumps due to sudden events in the Czech transitive economy during the period in question. After simu1taneous verification, the quantified model was rebuilt into the form of non-linear state equations, which is suitable for applying control. ln handling the future trajectories of state and input variables (i.e. control and exogenous variables, respectively), there was the optimal control task solved as a dual problem of optimal control of a linearized discrete-time model (with time-variant parameters) by means of a quadratic functional (with time-variant weights) which is to be minimized. The above procedures were applied to the Small Czech Economy's Model, where we were trying to find out some admissible input and output trajectories, which would represent up-to-date factual alternative strategies of development ofthe Czech economy.

Suggested Citation

  • Osvald Vašíček & Jaromír Beneš, 1998. "The Czech Economy Model: Bayesian Quantitative Analysis of Parameters and Control of Strategies," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 5(7).
  • Handle: RePEc:czx:journl:v:5:y:1998:i:7:id:54
    as

    Download full text from publisher

    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/54
    Download Restriction: no

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:czx:journl:v:5:y:1998:i:7:id:54. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jozef Barunik). General contact details of provider: http://edirc.repec.org/data/czessea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.