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

DOI10.1007/S10614-006-9043-5MaRDI QIDQ857744zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 1099379 (Why is no real title available?)
• A linear algebraic procedure for solving linear perfect foresight models
• Computing the steady state of linear quadratic optimization models with rational expectations
• Estimating long-run relationships from dynamic heterogeneous panels
• Extensions of linearization to large econometric models with rational expectations
• Making a match: combining theory and evidence in policy-oriented macroeconomic modeling
• Optimal control and stochastic simulation of large nonlinear models with rational expectations
• Optimal experiment design for dynamic system identification
• SOLVING LARGE-SCALE RATIONAL-EXPECTATIONS MODELS
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Solving linear rational expectations models
• The Identification Problem for Multiple Equation Systems with Moving Average Errors
• The Solution of Linear Difference Models under Rational Expectations
• Using the generalized Schur form to solve a multivariate linear rational expectations model

Cited in

(7)

• The design of feedback rules in linear stochastic rational expectations models
• On the usefulness of persistent excitation in ARX adaptive tracking
• scientific article; zbMATH DE number 3976178 (Why is no real title available?)
• Some thoughts on rational expectations models, and alternate formulations
• Efficient solution techniques for linear and nonlinear rational expectations models
• Is it worth refining linear approximations to nonlinear rational expectations models?
• Extensions of linearization to large econometric models with rational expectations

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