Исследуется модель минимизации дефицита мощности в электроэнергетической системе. В модели учитываются нелинейные потери мощности в линиях электропередачи....

Yes, it makes a lot of sense. Using the Smets and Wouters (2007) model of the U.S. economy, we find that the role of the output gap should be equal to or even more important than that of inflation when designing a simple loss function to represent household welfare. Moreover, we document that a...

This article compares the properties of different non-linear Kalman filters: the well-known Unscented Kalman filter (UKF), the central difference Kalman filter (CDKF) and the new Quadratic Kalman filter (QKF). A small financial DSGE model is repeatedly estimated by several quasi-likelihood...

We examine the linear-quadratic (LQ) approximation of non-linear stochastic dynamic optimization problems in macroeconomics, in particular for monetary policy. We make four main contributions: first, we draw attention to a general Hamiltonian framework for LQ approximation due to Magill (1977)....