Mitigation of the Lucas critique with stochastic control methods

DOI10.1016/S0165-1889(02)00115-XzbMATH Open1178.91121OpenAlexW2043638312MaRDI QIDQ951408FDOQ951408

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

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zbMATH Keywords

stochastic optimizationnumerical experimentsrational expectationsmacroeconomics

Mathematics Subject Classification ID

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

Cites Work

• Solving linear rational expectations models
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• Computing the steady state of linear quadratic optimization models with rational expectations
• The Solution of Linear Difference Models under Rational Expectations
• Econometric Implications of the Rational Expectations Hypothesis
• Linear prediction and estimation methods for regression models with stationary stochastic coefficients
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• The Efficient Estimation of Econometric Models with Rational Expectations
• Adaptive control in the presence of time-varying parameters
• Numerical solutions of the algebraic matrix Riccati equation
• Stochastic policy design in a learning environment with rational expectations.
• LINEAR-QUADRATIC OPTIMIZATION FOR MODELS WITH RATIONAL EXPECTATIONS

Cited In (7)

• Title not available (Why is that?)
• 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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