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Year 2015, Volume: 64 Issue: 2, 111 - 121, 01.08.2015
https://doi.org/10.1501/Commua1_0000000738

Abstract

References

  • Anderson, B.D.O. and J.B. Moore (1979), “Optimal Filtering”, Prentice Hall, 1979.
  • Bacchetta, P., Gerlach, S.(1997). “Consumption and credit constraints:international evidence”, Journal of Monetary Economics, 40, 207-238.
  • Favero, C. A, Rovelli, R.(2003), “Modeling and Identifying central bank preferences ”, Journal of Money , Credit and Banking, 35, 545-556.
  • Grillenzoni C.(1993), “ARIMA Processes with ARIMA parameters”, Journal of Business and Economic Statistics, 11, 235-250.
  • Kalman, R. E. (1960), “A new Approach to Linear Filtering and Prediction Problems”, Journal of Basic Engineering, Vol. 82; 35-45.
  • Ljungqvist, L, H. Lustig, R. Manvelli, T.J. Sargent, S.V. Nievwerburgh, (2001), “Exercises in Recursive Macroeconomic Theory”, unpublished manuscript, Stanford University, Hoover Institution.
  • Ljungqvist, L and T.J. Sargent (2000), “Recursive Macroeconomic Theory”, The MIT Press, Cambridge, MA.
  • Ljung, L and T. Söderström (1985), “Theory and Practice of Recursive Identification”, The MIT Press, Cambridge, MA.
  • Özbek, L. and M. Efe (2004), “An adaptive extended Kalman filter with application to compartment models”, Communication in Statistics, Simulation and Computation, 33:145- 158.
  • Özlale, Ü. (2003), “Price Stability US Output Stability: tales of federal reserve administrations, Journal of Economic Dynamics and Control”, 27,1595-1610.
  • Özbek, L., Özlale, Ü.(2005), “Employing the extended Kalman Filter in measuring the output gap, Journal of Economic Dynamics and Control”, 29, 1611-1622.
  • Salemi, M. (1995), “Revealed preference of the federal reserve: using inverse control theory to interpret the policy equation of a vector autoregression, journal of business and economic statistics”, 13, 419-433.

ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM

Year 2015, Volume: 64 Issue: 2, 111 - 121, 01.08.2015
https://doi.org/10.1501/Commua1_0000000738

Abstract

In this paper, we employ a non-linear state space model and the extended Kalman filter to simultaneously estimate the time-varying parameters in an optimal control problem, where the objective (loss) function is quadratic. Our methodology also allows us to derive the difference between the optimal control and the observed control variable. A simulation exercise based on a simple intertemporal model shows that the estimated parameter values are very close to their population values, which provide further support for the estimation methodology introduced in this paper

References

  • Anderson, B.D.O. and J.B. Moore (1979), “Optimal Filtering”, Prentice Hall, 1979.
  • Bacchetta, P., Gerlach, S.(1997). “Consumption and credit constraints:international evidence”, Journal of Monetary Economics, 40, 207-238.
  • Favero, C. A, Rovelli, R.(2003), “Modeling and Identifying central bank preferences ”, Journal of Money , Credit and Banking, 35, 545-556.
  • Grillenzoni C.(1993), “ARIMA Processes with ARIMA parameters”, Journal of Business and Economic Statistics, 11, 235-250.
  • Kalman, R. E. (1960), “A new Approach to Linear Filtering and Prediction Problems”, Journal of Basic Engineering, Vol. 82; 35-45.
  • Ljungqvist, L, H. Lustig, R. Manvelli, T.J. Sargent, S.V. Nievwerburgh, (2001), “Exercises in Recursive Macroeconomic Theory”, unpublished manuscript, Stanford University, Hoover Institution.
  • Ljungqvist, L and T.J. Sargent (2000), “Recursive Macroeconomic Theory”, The MIT Press, Cambridge, MA.
  • Ljung, L and T. Söderström (1985), “Theory and Practice of Recursive Identification”, The MIT Press, Cambridge, MA.
  • Özbek, L. and M. Efe (2004), “An adaptive extended Kalman filter with application to compartment models”, Communication in Statistics, Simulation and Computation, 33:145- 158.
  • Özlale, Ü. (2003), “Price Stability US Output Stability: tales of federal reserve administrations, Journal of Economic Dynamics and Control”, 27,1595-1610.
  • Özbek, L., Özlale, Ü.(2005), “Employing the extended Kalman Filter in measuring the output gap, Journal of Economic Dynamics and Control”, 29, 1611-1622.
  • Salemi, M. (1995), “Revealed preference of the federal reserve: using inverse control theory to interpret the policy equation of a vector autoregression, journal of business and economic statistics”, 13, 419-433.
There are 12 citations in total.

Details

Primary Language English
Journal Section Research Articles
Authors

Levent Özbek This is me

Esin Köksal Babacan This is me

Publication Date August 1, 2015
Published in Issue Year 2015 Volume: 64 Issue: 2

Cite

APA Özbek, L., & Köksal Babacan, E. (2015). ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, 64(2), 111-121. https://doi.org/10.1501/Commua1_0000000738
AMA Özbek L, Köksal Babacan E. ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. August 2015;64(2):111-121. doi:10.1501/Commua1_0000000738
Chicago Özbek, Levent, and Esin Köksal Babacan. “ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 64, no. 2 (August 2015): 111-21. https://doi.org/10.1501/Commua1_0000000738.
EndNote Özbek L, Köksal Babacan E (August 1, 2015) ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 64 2 111–121.
IEEE L. Özbek and E. Köksal Babacan, “ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM”, Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat., vol. 64, no. 2, pp. 111–121, 2015, doi: 10.1501/Commua1_0000000738.
ISNAD Özbek, Levent - Köksal Babacan, Esin. “ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 64/2 (August 2015), 111-121. https://doi.org/10.1501/Commua1_0000000738.
JAMA Özbek L, Köksal Babacan E. ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. 2015;64:111–121.
MLA Özbek, Levent and Esin Köksal Babacan. “ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, vol. 64, no. 2, 2015, pp. 111-2, doi:10.1501/Commua1_0000000738.
Vancouver Özbek L, Köksal Babacan E. ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. 2015;64(2):111-2.

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics.

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