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Comparisonsofvariousmethodsforsolvingstochasticcontroleconomicmodelscanbe done withMonteCarlomethods.Thesemethodshavebeenappliedtosimpleone-state, one-controlquadratic-lineartrackingmodels;however,largeoutliersmayoccurina substantialnumberoftheMonteCarlorunswhencertainparametersetsareusedin these models.Buildingontheworkof Mizrach(1991) and AmmanandKendrick(1994, 1995), thispapertracksthesourceoftheseoutlierstotwosources:(1)theuseofazero for thepenaltyweightsonthecontrolvariablesand(2)thegenerationofnear-zero initial estimateofthecontrolparameterinthesystemsequationsbytheMonteCarlo routine.Thisresultleadstoanunderstandingofwhyboththeunsophisticatedoptimal feedback(certaintyequivalence)andthesophisticateddualmethodsdopoorlyinsome MonteCarlocomparisonsrelativetothemoderatelysophisticatedexpectedoptimal feedbackmethod.

Tucci, M.P., AMMAN H., M., Kendrick, D.A. (2010). The Parameter Set in an Adaptive Control Monte Carlo Experiment: Some Considerations. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 34, 1531-1549 [10.1016/j.jedc.2010.06.014].

The Parameter Set in an Adaptive Control Monte Carlo Experiment: Some Considerations

TUCCI, MARCO PAOLO;
2010-01-01

Abstract

Comparisonsofvariousmethodsforsolvingstochasticcontroleconomicmodelscanbe done withMonteCarlomethods.Thesemethodshavebeenappliedtosimpleone-state, one-controlquadratic-lineartrackingmodels;however,largeoutliersmayoccurina substantialnumberoftheMonteCarlorunswhencertainparametersetsareusedin these models.Buildingontheworkof Mizrach(1991) and AmmanandKendrick(1994, 1995), thispapertracksthesourceoftheseoutlierstotwosources:(1)theuseofazero for thepenaltyweightsonthecontrolvariablesand(2)thegenerationofnear-zero initial estimateofthecontrolparameterinthesystemsequationsbytheMonteCarlo routine.Thisresultleadstoanunderstandingofwhyboththeunsophisticatedoptimal feedback(certaintyequivalence)andthesophisticateddualmethodsdopoorlyinsome MonteCarlocomparisonsrelativetothemoderatelysophisticatedexpectedoptimal feedbackmethod.
2010
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
Tucci, M.P., AMMAN H., M., Kendrick, D.A. (2010). The Parameter Set in an Adaptive Control Monte Carlo Experiment: Some Considerations. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 34, 1531-1549 [10.1016/j.jedc.2010.06.014].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11365/25329
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