Control of linear systems with rational expectations. The case of incomplete information
- 14 Downloads
The problem of optimal control of linear economic systems with rational expectations and quadratic objective function is solved for the case of incomplete information. The case of complete information has been previously studied. In both problems the hypothesis of causality is not satisfied and, therefore, the standard techniques of control theory cannot be directly applied, though the method used is based on these techniques.
Key wordsIncomplete information Rational expectations Stochastic control
Unable to display preview. Download preview PDF.
- AOKI, M. (1989):Optimization of Stochastic Systems. Topics in Discrete-Time Dynamics, Second Edition, Academic Press.Google Scholar
- BUITER, W. (1983): «Expectations and control theory»,Economie appliquée, n.o 1, pp. 129–156.Google Scholar
- CERDA, E. (1987):Control estocástico de modelos con expectativas racionales, Tesis Doctoral, Universidad Complutense.Google Scholar
- CERDA, E. (1990): «Control óptimo de sistemas lineales con expectativas racionales»,Investigaciones económicas (Segunda época), vol. XIV, n.o 1, pp. 63–83.Google Scholar
- DRIFFILL, E. J. (1981): «Time inconsistency and “rules vs. discretion» in macroeconomic models with rational expectations»,Discussion Papers in Economics and Econometrics, University of Southampton.Google Scholar
- HOLLY, S., and HUGHES HALLET, A. (1989):Optimal control, expectations and uncertainty, Cambridge University Press.Google Scholar
- PESARAN, M. H. (1987):The limits to rational expectation, Basil Blackwell.Google Scholar