Optimal control of nonlinear dynamic econometric models: an algorithm and an application

DOI10.1016/j.csda.2010.10.030zbMath1254.93158OpenAlexW1994762211MaRDI QIDQ1927106

Yanyan Li

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.10.030

zbMATH Keywords

algorithmsoptimal controlstochastic controleconometric modelingpolicy applications

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Statistical methods; economic indices and measures (91B82) Dynamical systems in optimization and economics (37N40)

Related Items (2)

No such thing as a perfect hammer: comparing different objective function specifications for optimal control ⋮ Optimal control of nonlinear dynamic econometric models: an algorithm and an application

Cites Work

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• Optimal budgetary and monetary policies under uncertainty: A stochastic control approach
• Optimal control of nonlinear dynamic econometric models: an algorithm and an application
• Should macroeconomic policy makers consider parameter covariances?
• Optimization heuristics for determining internal rating grading scales

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