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

Bootstrapping Macroeconometric Models by Ray C. Fair Cowles Foundation Paper No. 1195 Cowles Foundation for Research in Economics

This paper outlines a bootstrapping approach to the estimation and analysis of macroeconometric models. It integrates for dynamic, nonlinear, simultaneous equation models the bootstrapping approach to evaluating estimators initiated by Efron (1979) and the stochastic simulation approach to evaluating models’ properties initiated by Adelman and Adelman (1959). It also estimates for a particular ...

Estimates of the Effectiveness of Monetary Policy by Ray C. Fair Cowles Foundation Paper No. 1155 Cowles Foundation for Research in Economics

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

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.

OPTIMAL RESOURCE EXTRACTION CONTRACTS UNDER THREAT OF EXPROPRIATION BY EDUARDO ENGEL and RONALD FISCHER COWLES FOUNDATION PAPER NO. 1317 COWLES FOUNDATION FOR RESEARCH IN ECONOMICS

Evaluating Inflaton Targeting Using a Macroeconometric Model by Ray C. Fair Cowles Foundation Paper No. 1211 Cowles Foundation for Research in Economics

This paper uses a structurally estimated macroeconometric model, denoted the MC model, to evaluate inflation targeting in the United States. Various interest rate rules are tried with differing weights on inflation and output, and various optimal control problems are solved using differing weights on inflation and output targets. Price-level targeting is also considered. The results show that 1...