A Method for Stochastic Control of Nonlinear Econometric Models and an Application
非线性计量模型的随机控制方法及其应用
A method for optimization in nonlinear stochastic models is proposed in this paper, and applied to study monetary and fiscal policy in the St. Louis econometric model. Essentially, the method is to simulate the model in a number of stochastic simulations in which the coefficients of the model are treated as random, to use the results of the stochastic simulations to find parsimonious representations of the time form of the policy multipliers by estimating autoregressive…