In this paper, we present a method for using rational expectations in a stochastic linear-quadratic optimization framework in which the unknown parameters are updated through a learning scheme. We use the QZ decomposition as suggested by Sims (1996) to solve the rational-expectations part of the...

\\begin{abstract} Lucas (1976) pointed out, that when optimization is performed on a deterministic macro model, the resulting policy may not reflect the true optimal solution. Private agents may react to announced policies and consequently model parameters will start to drift. The aim of this...

In this paper we turn our attention to comparing the policy function obtained by Beck and Wieland (J Econ Dyn Control 26:1359–1377, <CitationRef CitationID="CR6">2002</CitationRef>) to the one obtained with adaptive control methods. It is an integral part of the optimal learning method used by Beck and Wieland to obtain a policy...</citationref>

Lucas (1976) pointed out, that when optimization is performed on a deterministic macro model, the resulting policy may not reflect the true optimal solution. Private agents may react to announced policies and consequently model parameters will start to drift. The aim of this paper is to develop...