Adaptive control of econometric models with unknown parameters (Q1110435)
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scientific article; zbMATH DE number 4072663
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive control of econometric models with unknown parameters |
scientific article; zbMATH DE number 4072663 |
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Adaptive control of econometric models with unknown parameters (English)
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1987
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Using the ARMAX-model representation of an econometric model, the author considers the minimum variance control strategy. To solve the control problem, the state space form of the controlled system is obtained. An algorithm for the i-th controlled equation is then given. The short paper concludes with an application of this self-tuning method algorithm to fiscal and monetary policies by solving a small quarterly nonlinear econometric model of Japan.
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recursive least squares
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ARMAX-model
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econometric model
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minimum variance control strategy
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self-tuning method
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