LINEAR-QUADRATIC OPTIMIZATION FOR MODELS WITH RATIONAL EXPECTATIONS

DOI10.1017/S1365100599013048MaRDI QIDQ4944073zbMATH OpenFDO

Authors Hans M. Amman, David A. Kendrick

Publication date 19 March 2000

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S1365100599013048

zbMATH Keywords

linear quadratic optimizationnumerical experimentsrational expectationsstochastic optimization

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Quadratic programming (90C20) Economic growth models (91B62)

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Cited in

(15)

• Computing the steady state of linear quadratic optimization models with rational expectations
• Further results on implicit models with application to LQ adaptive optimization
• Stochastic policy design in a learning environment with rational expectations.
• Robust control: a note on the response of the control to changes in the ``free parameter conditional on the character of nature
• Some thoughts on rational expectations models, and alternate formulations
• Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations
• Optimization Under Rational Expectations: A Framework of Fully Coupled Forward-Backward Stochastic Linear Quadratic Systems
• Solving stochastic optimization models with learning and rational expectations
• A classification system for economic stochastic control models
• The linearisation and optimal control of large nonlinear rational expectations models by persistent excitation
• Mitigation of the Lucas critique with stochastic control methods
• Stochastic control for economic models: past, present and the paths ahead
• Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration
• Linear rational-expectations models with lagged expectations: a synthetic method
• A ``nearly ideal solution to linear time-varying rational expectations models

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