The linearisation and optimal control of large nonlinear rational expectations models by persistent excitation

DOI10.1007/S10614-006-9043-5zbMATH Open1153.91650OpenAlexW2021863950MaRDI QIDQ857744FDOQ857744

Luisa Corrado, Sean Holly

Publication date: 20 December 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-006-9043-5

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84) Applications of optimal control and differential games (49N90) Economic growth models (91B62) Linear systems in control theory (93C05)

Cites Work

• Title not available (Why is that?)
• Solving linear rational expectations models
• Estimating long-run relationships from dynamic heterogeneous panels
• Computing the steady state of linear quadratic optimization models with rational expectations
• Making a match: combining theory and evidence in policy-oriented macroeconomic modeling
• The Identification Problem for Multiple Equation Systems with Moving Average Errors
• A linear algebraic procedure for solving linear perfect foresight models
• The Solution of Linear Difference Models under Rational Expectations
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Optimal experiment design for dynamic system identification
• Optimal control and stochastic simulation of large nonlinear models with rational expectations
• SOLVING LARGE-SCALE RATIONAL-EXPECTATIONS MODELS
• Extensions of linearization to large econometric models with rational expectations

Cited In (3)

• The design of feedback rules in linear stochastic rational expectations models
• On the usefulness of persistent excitation in ARX adaptive tracking
• Efficient solution techniques for linear and nonlinear rational expectations models

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