Optimal control of nonlinear dynamic econometric models: An algorithm and an application

V. Blueschke-Nikolaeva, D. Blueschke and Reinhard Neck ()
Authors registered in the RePEc Author Service: Dmitri Blueschke

Computational Statistics & Data Analysis, 2012, vol. 56, issue 11, 3230-3240

Abstract: OPTCON is an algorithm for the optimal control of nonlinear stochastic systems which is particularly applicable to econometric models. It delivers approximate numerical solutions to 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. The applicability of the algorithm is demonstrated by experiments with a small quarterly macroeconometric model for Slovenia. This illustrates the convergence and the practical usefulness of the algorithm and (in most cases) the superiority of open-loop feedback over open-loop controls.

Keywords: Optimal control; Stochastic control; Algorithms; Econometric modeling; Policy applications (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (14)

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Working Paper: Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:11:p:3230-3240

DOI: 10.1016/j.csda.2010.10.030

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