Expected optimal feedback with Time-Varying Parameters

Marco P. Tucci (), David Andrew Kendrick () and Hans Amman ()

Department of Economics University of Siena from Department of Economics, University of Siena

Abstract: In this paper we derive, by using dynamic programming, the closed loop form of the Expected Optimal Feedback rule with time varying parameter. As such this paper extends the work of Kendrick (1981, 2002, Chapter 6) for the time varying parameter case. Furthermore, we show that the Beck and Wieland (2002) model can be cast into this framework and can be treated as a special case of this solution.

JEL-codes: C63 E61 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2007-02
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Persistent link: http://EconPapers.repec.org/RePEc:usi:wpaper:497

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