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

  • Ray Fair

    ()

This paper presents a computationally fesible procedure for the optimalcontrol and stochastic simulation of large nonlinear models with rationalexpectations under the assumption of certainty equivalence. Copyright Kluwer Academic Publishers 2003

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File URL: http://hdl.handle.net/10.1023/A:1023947827146
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Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 21 (2003)
Issue (Month): 3 (June)
Pages: 245-256

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Handle: RePEc:kap:compec:v:21:y:2003:i:3:p:245-256
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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. Martin Feldstein & James H. Stock, 1994. "The Use of a Monetary Aggregate to Target Nominal GDP," NBER Chapters, in: Monetary Policy, pages 7-69 National Bureau of Economic Research, Inc.
  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. 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.
  5. Dean Croushore & Tom Stark, 1994. "Evaluating McCallum's rule for monetary policy," Working Papers 94-26, Federal Reserve Bank of Philadelphia.
  6. 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.
  7. Clarida, R. & Gali, J. & Gertler, M., 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and some Theory," Working Papers 98-01, C.V. Starr Center for Applied Economics, New York University.
  8. 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 for Research in Economics, Yale University.
  9. 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.
  10. 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.
  11. John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1.
  12. 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.
  13. Fair, Ray C. & Howrey, E. Philip, 1996. "Evaluating alternative monetary policy rules," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 173-193, October.
  14. 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.
  15. Robert E. Hall & N. Gregory Mankiw, 1994. "Nominal Income Targeting," NBER Chapters, in: Monetary Policy, pages 71-94 National Bureau of Economic Research, Inc.
  16. 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.
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