Mitigation of the Lucas critique with stochastic control methods

DOI10.1016/S0165-1889(02)00115-XMaRDI QIDQ951408zbMATH OpenOpenAlexFDO

Authors Hans M. Amman, David A. Kendrick

Publication date 24 October 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(02)00115-x

zbMATH Keywords

stochastic optimizationnumerical experimentsrational expectationsmacroeconomics

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

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• Econometric Implications of the Rational Expectations Hypothesis
• LINEAR-QUADRATIC OPTIMIZATION FOR MODELS WITH RATIONAL EXPECTATIONS
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• Numerical solutions of the algebraic matrix Riccati equation
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• Stochastic policy design in a learning environment with rational expectations.
• The Efficient Estimation of Econometric Models with Rational Expectations
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Cited in

(7)

• scientific article; zbMATH DE number 1790591 (Why is no real title available?)
• Understanding the difference between robust control and optimal control in a linear discrete-time system with time-varying parameters
• Stochastic control for economic models: past, present and the paths ahead
• Stochastic policy design in a learning environment with rational expectations.
• A classification system for economic stochastic control models
• A ``nearly ideal solution to linear time-varying rational expectations models
• Solving the Beck and Wieland model with optimal experimentation in \textit{DualPC}

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