Stochastic Control of Econometric Models for Slovenia
نویسندگان
چکیده
OPTCON is an algorithm for the optimal control of nonlinear stochastic systems which is particularly applicable to econometric models. It delivers approximate numerical solutions to optimum control problems with a quadratic objective function for nonlinear econometric models with additive and multiplicative (parameter) uncertainties. The algorithm was programmed in C# and allows for deterministic and stochastic control, the latter with open-loop and passive learning (open-loop feedback) information patterns. In this paper, we compare the application results of the OPTCON2 algorithm for two macroeconomic models for Slovenia, namely a non-linear model SLOVNL and a linear model SLOVL. KeywordsOptimal control; Stochastic control; Algorithms; Econometric modeling; Policy applications
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