Optimal control of large, forward-looking models efficient solutions and two examples

Frederico Finan and Robert Tetlow

No 1999-51, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: An optimal control tool is described that is particularly useful for computing rules of large-scale models where users might otherwise have difficulty determining the state vector a priori and where the inversion of large, sparse matrices is involved. A small-scale demonstration is presented, as are data on performance with the Board of Governors large-scale rational expectations macroeconometric model, FRB/US.

Keywords: Econometric models; Macroeconomics (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (12)

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