Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations
نویسنده
چکیده
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.
منابع مشابه
Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations by Ray C. Fair Cowles Foundation Paper No. 1076 Cowles Foundation for Research in Economics
This paper presents a computationally fesible procedure for the optimal control and stochastic simulation of large nonlinear models with rational expectations under the assumption of certainty equivalence.
متن کاملTesting for Stochastic Non- Linearity in the Rational Expectations Permanent Income Hypothesis
The Rational Expectations Permanent Income Hypothesis implies that consumption follows a martingale. However, most empirical tests have rejected the hypothesis. Those empirical tests are based on linear models. If the data generating process is non-linear, conventional tests may not assess some of the randomness properly. As a result, inference based on conventional tests of linear models can b...
متن کاملFriction Compensation for Dynamic and Static Models Using Nonlinear Adaptive Optimal Technique
Friction is a nonlinear phenomenon which has destructive effects on performance of control systems. To obviate these effects, friction compensation is an effectual solution. In this paper, an adaptive technique is proposed in order to eliminate limit cycles as one of the undesired behaviors due to presence of friction in control systems which happen frequently. The proposed approach works for n...
متن کاملDynamical Control of Computations Using the Family of Optimal Two-point Methods to Solve Nonlinear Equations
One of the considerable discussions for solving the nonlinear equations is to find the optimal iteration, and to use a proper termination criterion which is able to obtain a high accuracy for the numerical solution. In this paper, for a certain class of the family of optimal two-point methods, we propose a new scheme based on the stochastic arithmetic to find the optimal number of iterations in...
متن کاملStochastic Policy Design in a Learning Environment with Rational Expectations
In this paper we present a method for using rational expectations in a stochastic linear-quadratic optimization framework in which the unknown parameters are updated through a learning scheme. We use the QZ decomposition as suggested by Sims (1996) to solve the rational expectations part of the model. The parameter updating is done with the Kalman filter and the optimal control is calculated us...
متن کامل