|
EconStor >
Verein für Socialpolitik >
Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/37494
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Blüschke-Nikolaeva, Viktoria | | en_US |
| dc.contributor.author | | Blüschke, Dmitri | | en_US |
| dc.contributor.author | | Neck, Reinhard | | en_US |
| dc.date.accessioned | | 2010-08-11T09:10:42Z | | - |
| dc.date.available | | 2010-08-11T09:10:42Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/37494 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Verein für Socialpolitik Frankfurt a. M. | | en_US |
| dc.relation.ispartofseries | | Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Computational Econometrics A3-V3 | | en_US |
| dc.subject.jel | | C61 | | en_US |
| dc.subject.jel | | B22 | | en_US |
| dc.subject.jel | | C88 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Optimal control | | en_US |
| dc.subject.keyword | | Stochastic control | | en_US |
| dc.subject.keyword | | Algorithms | | en_US |
| dc.subject.keyword | | Econometric modeling | | en_US |
| dc.subject.keyword | | Policy applications | | en_US |
| dc.title | | Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application | | en_US |
| dc.type | | Conference Paper | | en_US |
| dc.identifier.ppn | | 654816778 | | - |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|