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Title:Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application PDF Logo
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: Ökonomie der Familie

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