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Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie >
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| Title: | | Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application  |
| Authors: | | Blüschke-Nikolaeva, Viktoria Blüschke, Dmitri Neck, Reinhard |
| Issue Date: | | 2010 |
| Series/Report no.: | | Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Computational Econometrics A3-V3 |
| Abstract: | | In this paper, we present a new version of the OPTCON algorithm for the optimal control of nonlinear stochastic systems with special reference to econometric models. It delivers approximate numerical solutions of optimum control problems with a quadratic objective function for nonlinear econometric models with additive and multiplicative (parameter) uncertainties. The algorithm was programmed in C# and allows for deterministic and stochastic control, the latter with open-loop and passive learning (open-loop feedback) information patterns. We demonstrate the applicability of the algorithm by experiments with a small quarterly macroeconometric model for Slovenia. This shows the convergence and the practical usefulness of the algorithm and (in most cases) the superiority of open-loop feedback over open-loop controls. |
| Subjects: | | Optimal control Stochastic control Algorithms Econometric modeling Policy applications |
| JEL: | | C61 B22 C88 |
| Document Type: | | Conference Paper |
| Appears in Collections: | | Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie
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