A ``nearly ideal solution to linear time-varying rational expectations models

DOI10.1007/s10614-010-9201-7zbMath1202.91238OpenAlexW2041458217MaRDI QIDQ967223

Francesco Carravetta, Marco M. Sorge

Publication date: 28 April 2010

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-010-9201-7

zbMATH Keywords

time-varying parametersKalman filteringrational expectations models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic models in economics (91B70) Economic dynamics (91B55)

Related Items (4)

Stackelberg solution for a two-agent rational expectations model ⋮ Linear quadratic optimal regulation for multiplicative noise systems with special terminal penalty ⋮ DOES NEAR‐RATIONALITY MATTER IN FIRST‐ORDER APPROXIMATE SOLUTIONS? A PERTURBATION APPROACH ⋮ Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models

Uses Software

• Gensys

Cites Work

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