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Board of Governors of the Federal Reserve System (US)
Finance and Economics Discussion Series
Optimal control of large, forward-looking models efficient solutions and two examples
Frederico Finan
Robert J. Tetlow
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.


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Frederico Finan & Robert J. Tetlow, Optimal control of large, forward-looking models efficient solutions and two examples, Board of Governors of the Federal Reserve System (US), Finance and Economics Discussion Series 1999-51, 1999.
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Keywords: Econometric models ; Macroeconomics
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