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

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.

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Year of publication:	1999
Authors:	Finan, Frederico S. ; Tetlow, Robert
Institutions:	Federal Reserve Board (Board of Governors of the Federal Reserve System)
Subject:	Econometric models \| Macroeconomics

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Extent:	text/html application/pdf
Series:	Finance and Economics Discussion Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 1999-51
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005393701