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dc.contributor.authorBlüschke-Nikolaeva, Viktoriaen_US
dc.contributor.authorBlüschke, Dmitrien_US
dc.contributor.authorNeck, Reinharden_US
dc.date.accessioned2010-08-11T09:10:42Z-
dc.date.available2010-08-11T09:10:42Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/37494-
dc.description.abstractIn 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.isoengen_US
dc.publisherVerein für Socialpolitik Frankfurt a. M.en_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Computational Econometrics A3-V3en_US
dc.subject.jelC61en_US
dc.subject.jelB22en_US
dc.subject.jelC88en_US
dc.subject.ddc330en_US
dc.subject.keywordOptimal controlen_US
dc.subject.keywordStochastic controlen_US
dc.subject.keywordAlgorithmsen_US
dc.subject.keywordEconometric modelingen_US
dc.subject.keywordPolicy applicationsen_US
dc.titleOptimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Applicationen_US
dc.typeConference Paperen_US
dc.identifier.ppn654816778-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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