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Numerical methods for linear-quadratic models

In: Handbook of Computational Economics


  • Amman, Hans


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  • Amman, Hans, 1996. "Numerical methods for linear-quadratic models," Handbook of Computational Economics,in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 13, pages 587-618 Elsevier.
  • Handle: RePEc:eee:hecchp:1-13

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    References listed on IDEAS

    1. Kehoe, Timothy J & Levine, David K, 1985. "Comparative Statics and Perfect Foresight in Infinite Horizon Economies," Econometrica, Econometric Society, vol. 53(2), pages 433-453, March.
    2. Williams,Jeffrey C. & Wright,Brian D., 2005. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521023399, March.
    3. Bovenberg, A.L., 1988. "The corporate tax in an intertemporal equilibrium model with imperfectly mobile capital," Other publications TiSEM feff37fb-c981-45fa-b2d8-7, Tilburg University, School of Economics and Management.
    4. Dasgupta, S. & McKenzie, Lionel W., 1985. "A note on comparative statics and dynamics of stationary states," Economics Letters, Elsevier, vol. 18(4), pages 333-338.
    5. Wright, Brian D & Williams, Jeffrey C, 1982. "The Economic Role of Commodity Storage," Economic Journal, Royal Economic Society, vol. 92(367), pages 596-614, September.
    6. Brian D. Wright & Jeffrey C. Williams, 1984. "The Welfare Effects of the Introduction of Storage," The Quarterly Journal of Economics, Oxford University Press, vol. 99(1), pages 169-192.
    7. Santos, M.S. & Vila, J-L., 1988. "Smoothness Of Policy Function In Continuous Time Economic Models: The One Dimensional Case," UFAE and IAE Working Papers 112-89, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    8. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-1311, July.
    9. Rajnish Mehra, 2006. "Recursive Competitive Equilibrium," NBER Working Papers 12433, National Bureau of Economic Research, Inc.
    10. Miranda, Mario J & Helmberger, Peter G, 1988. "The Effects of Commodity Price Stabilization Programs," American Economic Review, American Economic Association, vol. 78(1), pages 46-58, March.
    11. Albrecht, James W. & Holmlund, Bertil & Lang, Harald, 1991. "Comparative statics in dynamic programming models with an application to job search," Journal of Economic Dynamics and Control, Elsevier, vol. 15(4), pages 755-769, October.
    12. Bovenberg, A Lans, 1989. "The Effects of Capital Income Taxation on International Competitiveness and Trade Flows," American Economic Review, American Economic Association, vol. 79(5), pages 1045-1064, December.
    13. Benhabib, Jess & Nishimura, Kazuo, 1979. "The hopf bifurcation and the existence and stability of closed orbits in multisector models of optimal economic growth," Journal of Economic Theory, Elsevier, vol. 21(3), pages 421-444, December.
    14. Zhang, Wei-Bin, 1988. "Hopf bifurcations in multisector models of optimal economic growth," Economics Letters, Elsevier, vol. 26(4), pages 329-334.
    15. LaFrance, Jeffrey T. & Barney, L. Dwayne, 1991. "The envelope theorem in dynamic optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 355-385, April.
    16. Bovenberg, A.L., 1986. "Capital income taxation in growing open economies," Other publications TiSEM d92d32f6-df9f-418b-bbd3-d, Tilburg University, School of Economics and Management.
    17. Gustafson, Robert L., 1958. "Carryover levels for grains: A method for determining amounts that are optimal under specified conditions," Technical Bulletins 157231, United States Department of Agriculture, Economic Research Service.
    18. Judd, Kenneth L., 1982. "An alternative to steady-state comparisons in perfect foresight models," Economics Letters, Elsevier, vol. 10(1-2), pages 55-59.
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    Cited by:

    1. 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.
    2. D.A. Kendrick & H.M. Amman & M.P. Tucci, 2008. "Learning About Learning in Dynamic Economic Models," Working Papers 08-20, Utrecht School of Economics.
    3. Hans Amman & David Kendrick, 2014. "Comparison of policy functions from the optimal learning and adaptive control frameworks," Computational Management Science, Springer, vol. 11(3), pages 221-235, July.
    4. Crowley, Patrick M. & Hudgins, David, 2015. "Fiscal policy tracking design in the time–frequency domain using wavelet analysis," Economic Modelling, Elsevier, vol. 51(C), pages 502-514.
    5. Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables," EconStor Preprints 168031, ZBW - German National Library of Economics.
    6. Binder, Michael & Pesaran, Hashem, 2000. "Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 325-346, March.
    7. Reinhard Neck & Sohbet Karbuz, 2017. "Dynamic Optimization under Uncertainty: A Case Study for Austrian Macroeconomic Policies," Proceedings of International Academic Conferences 5808250, International Institute of Social and Economic Sciences.
    8. Crowley, Patrick M. & Hudgins, David, 2015. "Euro area monetary and fiscal policy tracking design in the time-frequency domain," Research Discussion Papers 12/2015, Bank of Finland.
    9. Amman, Hans M. & Neudecker, Heinz, 1997. "Numerical solutions of the algebraic matrix Riccati equation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(2-3), pages 363-369.
    10. repec:bof:bofrdp:urn:nbn:fi:bof-201508131350 is not listed on IDEAS

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    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques


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