New insights into optimal control of nonlinear dynamic econometric models: Application of a heuristic approach
Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a variety of ways, e.g., symmetry of the objective function and identical data frequencies of control variables. To overcome these problems, an alternative approach based on heuristics is suggested. To this end, we apply a ‘classical’ algorithm (OPTCON) and a heuristic approach (Differential Evolution) to three different econometric models and compare their performance. In this paper we consider scenarios of symmetric and asymmetric quadratic objective functions. Results provide a strong support for the heuristic approach encouraging its further application to optimum control problems.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marianna Lyra & Johannes Paha & Sandra Paterlini & Peter Winker, 2008.
"Optimization Heuristics for Determining Internal Rating Grading Scales,"
Center for Economic Research (RECent)
023, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Lyra, M. & Paha, J. & Paterlini, S. & Winker, P., 2010. "Optimization heuristics for determining internal rating grading scales," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2693-2706, November.
- Marianna Lyra & Johannes Paha & Sandra Paterlini & Peter Winker, 2009. "Optimization Heuristics for Determining Internal Rating Grading Scales," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09031, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Marianna Lyra & Johannes Paha & Sandra Paterlini & Peter Winker, 2008. "Optimization Heuristics for Determining Internal Rating Grading Scales," Working Papers 005, COMISEF.
- Chen, Baoline & Zadrozny, Peter A., 2009. "Multi-step perturbation solution of nonlinear differentiable equations applied to an econometric analysis of productivity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2061-2074, April.
- Ivan Savin & Peter Winker, 2012.
"Heuristic Optimization Methods for Dynamic Panel Data Model Selection: Application on the Russian Innovative Performance,"
Society for Computational Economics, vol. 39(4), pages 337-363, April.
- Ivan Savin & Peter Winker, 2010. "Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance," Working Papers 027, COMISEF.
- Friedman, Benjamin Morton, 1972. "Optimal Economic Stabilization Policy: An Extended Framework," Scholarly Articles 4554308, Harvard University Department of Economics.
- Friedman, Benjamin M, 1972. "Optimal Economic Stabilization Policy: An Extended Framework," Journal of Political Economy, University of Chicago Press, vol. 80(5), pages 1002-22, Sept.-Oct.
- Viktoria Blüschke-Nikolaeva & Dmitri Blüschke & Reinhard Neck, 2010.
"Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application,"
- Blueschke-Nikolaeva, V. & Blueschke, D. & Neck, R., 2012. "Optimal control of nonlinear dynamic econometric models: An algorithm and an application," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3230-3240.
- Alex Cukierman, 2002.
"Are contemporary central banks transparent about economic models and objectives and what difference does it make?,"
Federal Reserve Bank of St. Louis, issue Jul, pages 15-36.
- Cukierman, Alex, 2001. "Are Contemporary Central Banks Transparent about Economic Models and Objectives and What Difference Does it Make?," Discussion Paper Series 1: Economic Studies 2001,05, Deutsche Bundesbank, Research Centre.
- Neck, Reinhard, 1984. "Stochastic control theory and operational research," European Journal of Operational Research, Elsevier, vol. 17(3), pages 283-301, September.
- Peter Winker & Marianna Lyra & Chris Sharpe, 2011. "Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model," Computational Management Science, Springer, vol. 8(1), pages 103-123, April.
- Reinhard Neck & Dmitri Blueschke & Klaus Weyerstrass, 2011. "Optimal macroeconomic policies in a financial and economic crisis: a case study for Slovenia," Empirica, Springer, vol. 38(3), pages 435-459, July.
- A. Robert Nobay & David A. Peel, 2003. "Optimal Discretionary Monetary Policy in a Model of Asymmetric Central Bank Preferences," Economic Journal, Royal Economic Society, vol. 113(489), pages 657-665, 07.
When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:37:y:2013:i:4:p:821-837. 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: (Zhang, Lei)
If references are entirely missing, you can add them using this form.